PATH AVERAGED OPTION VALUE CRITERIA FOR SELECTING BETTER OPTIONS

DOI QR코드

DOI QR Code

KIM, JUNSEOK;YOO, MINHYUN;SON, HYEJU;LEE, SEUNGGYU;KIM, MYEONG-HYEON;CHOI, YONGHO;JEONG, DARAE;KIM, YOUNG ROCK

  • 투고 : 2016.05.27
  • 심사 : 2016.06.11
  • 발행 : 2016.06.25

초록

In this paper, we propose an optimal choice scheme to determine the best option among comparable options whose current expectations are all the same under the condition that an investor has a confidence in the future value realization of underlying assets. For this purpose, we use a path-averaged option as our base instrument in which we calculate the time discounted value along the path and divide it by the number of time steps for a given expected path. First, we consider three European call options such as vanilla, cash-or-nothing, and asset-or-nothing as our comparable set of choice schemes. Next, we perform the experiments using historical data to prove the usefulness of our proposed scheme. The test suggests that the path-averaged option value is a good guideline to choose an optimal option.

키워드

Black-Scholes equations;European options;path-averaged option value

참고문헌

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과제정보

연구 과제 주관 기관 : National Research Foundation of Korea (NRF)