关于 Black-Scholes 价格与对冲参数的展开式
证券定价
2019-06-07 v4
摘要
我们推导了 Black-Scholes 模型中欧式看涨和看跌期权价格的新公式，形式为一致收敛级数，推广了先前已知的近似。我们还提供了收敛速度的精确边界，并将结果应用于对冲参数（Greeks）的计算。
引用
@article{arxiv.1809.06736,
title = {On expansions for the Black-Scholes prices and hedge parameters},
author = {Jean-Philippe Aguilar},
journal= {arXiv preprint arXiv:1809.06736},
year = {2019}
}
备注
v4 (Some typos corrected + adding the DOI). To appear in Journal of Mathematical Analysis and Applications. arXiv admin note: text overlap with arXiv:1710.01141