论文标题
你的勒死值多少钱？关于$δ-$对称勒索的相对值
How much is your Strangle worth? On the relative value of the $δ-$Symmetric Strangle under the Black-Scholes model
论文作者
论文摘要
Trading Option Option Wendles是市场参与者经常使用的一种非常流行的策略，以减轻其投资组合中的波动风险。在本文中，我们提出了对三角对称扼流圈的相对值的度量，并根据标准的黑色 - choles选项定价模型对其进行计算。这项新措施说明了绞泥的价格，相对于两次罢工之间的差异的现值，所有这些措施在自然重新参数之后都以三角洲和波动性参数表示。我们表明，在标准BS选项定价模型下，此相对值的度量仅由Delta的简单函数界定，并且独立于到期的时间，基础安全性的价格或定价模型中使用的普遍波动性。我们演示了如何将这种绑定用作快速{\ it基准}，以评估市场波动，合同的持续时间或基础安全性的价格，与BS（相对）价格相比，$δ-$扼杀的市场（相对）价值。实际上，此措施和界限的明确表达使我们还可以详细研究扼杀的退出策略以及相应的{\ it最佳}选择，以达到三角洲的值。
Trading option strangles is a highly popular strategy often used by market participants to mitigate volatility risks in their portfolios. In this paper we propose a measure of the relative value of a delta-Symmetric Strangle and compute it under the standard Black-Scholes option pricing model. This new measure accounts for the price of the strangle, relative to the Present Value of the spread between the two strikes, all expressed, after a natural re-parameterization, in terms of delta and a volatility parameter. We show that under the standard BS option pricing model, this measure of relative value is bounded by a simple function of delta only and is independent of the time to expiry, the price of the underlying security or the prevailing volatility used in the pricing model. We demonstrate how this bound can be used as a quick {\it benchmark} to assess, regardless the market volatility, the duration of the contract or the price of the underlying security, the market (relative) value of the $δ-$strangle in comparison to its BS (relative) price. In fact, the explicit and simple expression for this measure and bound allows us to also study in detail the strangle's exit strategy and the corresponding {\it optimal} choice for a value of delta.
