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外汇交易技术分析

外汇期权

eqrty 2018-05-28 09:30:09

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eqrty 2018-05-28 09:30:09

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  • 电影里的月亮 12.7万次浏览
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© 2005-2022 douban.com, all rights reserved 北京豆网科技有限公司 关于豆瓣 · 在豆瓣工作 · 联系我们 · 法律声明 · 帮助中心 · 移动应用 · 豆瓣广告

深度!外汇期权市场与人民币汇率的风险定价

通过一定的实证分析,笔者发现:第一,8.11汇改前实际方差和方差风险溢价均没有单独体现在人民币汇率的风险定价中,但隐含方差却纳入了人民币汇率定价。这说明当时人民币汇率波动的不确定性的确较小,方差风险溢价还没有单独成为风险来源,并且这一阶段,隐含方差对于未来的汇率具有一定预测功效。第二,8.11汇改后,双向波动市场环境下方差风险溢价体现在了人民币汇率风险定价中,说明波动率不确定性风险的重要性凸显,人民币汇率的市场化形成机制更为成熟。这与日元、瑞士法郎、 英镑 、德国马克( 欧元 推出之前)等货币的波动率风险溢价存在的国际经验一致。因此,以波动率不确定性的视角来对标世界主要货币,人民币汇率的市场化程度确实得到了有效提升。第三,8.11汇改前后,期权隐含波动率数据均以不同的形式体现在人民币汇率风险定价中,反映出我国外汇期权市场趋向成熟,发挥了价格发现的功能。

Bjerksund-Stensland Model

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School for Social Research and Doctor of Philosophy in English literature from NYU.

Diane Costagliola is an experienced researcher, librarian, instructor, and writer. She teaches research skills, 外汇期权 information literacy, and writing to university students majoring in business and finance. She has published personal finance articles and product reviews covering mortgages, home buying, and foreclosure.

What Is the Bjerksund-Stensland Model?

The Bjerksund-Stensland model is a closed-form option pricing model used to calculate the price of an American option. The Bjerksund-Stensland model competes with the Black-Scholes model, though the Black-Scholes model is specifically 外汇期权 designed to price European options.

Key Takeaways

  • The 外汇期权 Bjerksund-Stensland model is a closed-form option pricing model used to calculate the price of an American option.
  • It is designed specifically to determine the American call value at early exercise when the price of the underlying asset reaches a flat boundary.
  • The Bjerksund-Stensland model works for American options that have a continuous dividend, constant dividend 外汇期权 yield, and discrete dividends.
  • It competes with the Black-Scholes model, though the Black-Scholes model is specifically designed to price European options.
  • Investors can use binomial and trinomial trees, which are considered “numerical” methods, as an alternative to the Bjerksund-Stensland model.

Understanding the Bjerksund-Stensland Model

The Bjerksund-Stensland model was developed in 1993 by Norwegians Petter Bjerksund and Gunnar Stensland and is used by investors to generate an estimate for the best time to execute an American option—financial derivatives that give buyers the right, but not the obligation, to buy (calls) or sell (puts) an underlying asset at an agreed-upon price and date.

The model is used specifically to determine the American call value at early exercise when the price of the underlying asset 外汇期权 reaches a flat boundary and works for 外汇期权 American options that have a continuous dividend, constant dividend yield, and discrete dividends. Bjerksund-Stensland divides the time to maturity into two periods with flat exercise boundaries — one flat boundary for each of the two periods.

American options differ from European options in that they can be exercised at any point during the contract period, rather than only on the expiration date. This feature should make the premium on an American option greater than the premium on a European option since the party selling the option is exposed to the risk of the option being exercised over the entire duration of the contract.

The Bjerksund-Stensland model takes into 外汇期权 account that options may be exercised before the expiration date, while the popular Black Scholes Method does not. This means the latter isn't really suitable for calculating the price of American options and works best when pricing more straightforward European options.

Unlike the Black Scholes model, the Bjerksund-Stensland model factors in that U.S. options may be exercised before the expiration date.

Advantages and Disadvantages of the Bjerksund-Stensland Model

The Bjerksund-Stensland model is able to complete complex calculations more quickly and efficiently compared to many other pricing methods. This was especially important because computers at the time of its inception were less powerful, and inefficient formulas could slow down calculations.

The model isn't perfect though. One flaw is that it is unable to provide the most optimal exercise strategy due to the estimates that it uses in calculations.

Special Considerations

Investors can use binomial and trinomial trees as an alternative to the Bjerksund-Stensland model. Trees are considered “numerical” methods, whereas Bjerksund-Stensland is considered an approximation method. Computers are typically able to complete approximation calculations faster than they can complete numerical methods.