基于价值敏感性的期权路径依赖强度的度量方法

A Method for Measuring the Path Dependence Intensity of Options Based on the Value Sensitivity

文章基于期权价值对标的物价格变化的敏感性以及相应条款,提出了期权路径依赖强度的度量方法,突破了目前只对路径依赖强度作大致分类的做法,是对路径依赖期权的深化研究。然后,分析了该度量方法的可行性及其构建,探讨了其在不同期权路径依赖强度方面的应用。

Based on the value sensitivity of options to their underlyings and corresponding treaty clauses, this paper poses a measuring method of path dependence intensity, which breaks the setup where the path dependence intensity was only classified roughly and which becomes a deep study on path - dependent options. Then, analyzes its feasibility and instructions , discusses its application to comparison of path dependence intensity of sorts of options.