arXiv 2312.092012023-12-14q-fin.MFq-fin.PR

带波动率期限结构的稳健期权定价——方差期权的实证研究

Robust option pricing with volatility term structure -- An empirical study for variance options

Alexander M. G. Cox, Annemarie M. Grass

AI总结：

针对稳健期权定价中纳入更多中间期限市场信息可优化定价界的普遍认知，本文以方差期权为对象开展实证研究，发现增加信息输入并不会改善稳健定价的上下界。

摘要：

稳健期权定价问题指仅通过最基本的假设，推导金融债权公允价格的上下界。它与经典的基于模型的定价方法形成对比，在2008年金融危机后受到重视，可用于分析基于模型的价格对底层模型假设的敏感程度。常见方法通过隐含波动率引入市场数据，为方差期权这类奇异衍生品定价。现有文献大多仅纳入与奇异期权到期日对应的隐含波动率信息。本文旨在阐释中间期限的市场数据可以且应当如何被纳入定价过程。人们自然会预期这类额外信息能够优化稳健定价的上下界。为探究该问题，我们选取方差期权作为研究对象，其知情稳健定价问题的上下界已有明确结论。我们进而开展了实证研究，得到了出人意料的发现：与普遍认知相反，纳入更多信息并不会优化稳健定价的上下界。

英文摘要：

The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the 2008 financial crisis, and can be used to understand the extent to which a model-based price is sensitive to the underlying model assumptions. Common approaches involve pricing exotic derivatives such as variance options by incorporating market data through implied volatility. The existing literature focuses largely on incorporating implied volatility information corresponding to the maturity of the exotic option. In this paper, we aim to explain how intermediate data can and should be incorporated. It is natural to expect that this additional information will improve the robust pricing bounds. To investigate this question, we consider variance options, where the bounds of the informed robust pricing problem are known. We proceed to conduct an empirical study uncovering a surprising finding: Contrary to common belief, the incorporation of more information does not lead to an improvement of the robust pricing bounds.

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