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负价格的常规期权
日期: 2020-07-01

Negative Prices for Vanilla Options 负价格的常规期权

讲座嘉宾: 向巨?

2020.07.02(星期四)16:00-17:30?

讲座地点? ?慧园3栋315会议室?

讲座语言? ?中英双语


向巨,南方科技大学金融系助理教授彩票平台地址,2011年第二届宏基世业私募股权行业研究大 赛最佳指导老师,2012年第三届宏基世业私募股权行业研究大赛指导专家。深圳市 地方级领军人才 (2013)。研究领域包括金融工程、风险管理、金融智能及量化投资 等领域。主笔“Intraday asymmetric volatility and asymmetric liquidity in FTSE-100 futures market”, “A Regime-Switching Nelson-Siegel Term Structure Model and Interest Rate? Forecasts”, “Optimal Buying at the Global Minimum in a Regime Switching Model”, “Artificial Intelligence's Expanding Predictability in Finance and Economics” 等论文。?


I identify a third state which should be priced-in b e f o r e buying options,in addition to the two states of ITM (In-the-Money) and AOTM (At or Out-of-theMoney) at exercise in the traditional Option Pricing Theory (OPT). OPT’s two states are more applicable when options are alr e a d y bought. Researchers and practitioners are commonly misled by the zero-payoff-at-worst to believe that vanilla options take non-negative prices only. On the contrary, the third state may lead to negative real payoffs due to heterogeneous unhedged costs of certain options, and to possible negative option prices (NOPs) which are presented with game theory and representative utility function models. NOPs have implications for financial markets and regulations (e.g. option quotes and market-making), and accounting principles (e.g. employee stock options).


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