摘要
期权卖方通常根据标的资产价格走势或可得到的其他信息判断如何确定期权敲定价格来获得更多收益。文章从统计学的角度,给出确定期权敲定价格的间距和区间的方法,把期权敲定价格看成随机变量,得到VIX期权敲定价格的分布,并建立了收益最大化模型。
The option seller usually judges how to determine the option final price to get more income according to the underlying assetprice movements or other information available.From the perspective of statistics,this paper gives the method of determining the spacingand interval of the price of the option.The option price is regarded as a random variable,the distribution of the VIX option price isobtained,and the profit maximization model is established.
作者
姜航
汪飞星
JIANG Hang;WANG Fei-xing(School of Mathematics and Physics of University of Science and Technology Beijing,Beijing 100083,China)
出处
《价值工程》
2017年第18期217-219,共3页
Value Engineering
