arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2603.19984q-fin.MFq-fin.RM
收藏

若非此刻，何时再？：美式期权最优执行中的模型风险

If Not Now, Then When? Model Risk in the Optimal Exercise of American Options

WU Vienna University of Economics and Business（维也纳经济与商业大学）；University of Technology Sydney（悉尼科技大学）；The African Institute of Financial Markets and Risk Management (AIFMRM), University of Cape Town（开普敦大学非洲金融市场与风险管理研究所）；University of Johannesburg（约翰内斯堡大学）

Luna Rigby, Rüdiger Frey, Erik Schlögl

阅读 PDF
arXiv 页面 ↗HTML 原文 ↗

AI总结：

本文研究了美式期权最优执行中的模型风险，通过Hull和Suo的基准方法，比较了使用Heston模型与误标Black-Scholes或Dupire局部波动率模型的投资者策略差异，发现波动率动态和收益-波动率相关性显著影响最优执行行为。

摘要：

模型风险源于用于定价和对冲衍生品的概率模型的误标。虽然欧式衍生品的模型风险已被广泛研究，但对美式衍生品及相关的最优停止问题却关注较少。本文利用Hull和Suo[2002]的基准方法，分析了在美式看跌期权的最优执行中模型风险。假设真实的生成过程遵循Heston随机波动率模型。我们比较了正确使用Heston模型的投资者的最优执行策略与使用误标Black-Scholes或Dupire局部波动率模型的投资者的策略差异。通过有限差分法计算最优执行边界。随机波动率动态和收益-波动率相关性在模型中对最优执行行为有显著影响，成为模型风险的来源。由于这种行为未传递到由误标模型决定的执行策略中，即使此类模型完全校准到欧式期权价格，校准也未能缓解此情境中的模型风险。此问题在频繁重新校准误标模型时仍然存在。

英文摘要：

Model risk arises from the misspecification of probabilistic models used for pricing and hedging derivatives. While model risk for European-style claims has been widely studied, much less attention has been given to American-style derivatives and the associated optimal stopping problems. This paper analyzes model risk in the optimal exercise of an American put option using the benchmark methodology of Hull and Suo [2002]. The true data-generating process is assumed to follow a Heston stochastic volatility model. We compare the optimal exercise strategy of an investor who correctly uses the Heston model with those of investors who instead use misspecified Black--Scholes or Dupire local volatility models. Optimal exercise boundaries are computed numerically via finite difference methods. Stochastic volatility dynamics and return--volatility correlation are found to have a substantial impact on optimal exercise behavior across models, creating a source of model risk. As this behavior is not transmitted to exercise strategies determined by misspecified models, even if such models are fully calibrated to European option prices, calibration fails to mitigate model risk in this context. This issue persists under frequent recalibration of a misspecified model.

机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。

↑