Integral representation of vega for American put options

被引：2

作者：

Liu, Yanchu ^{[1
]}

Cui, Zhenyu ^{[2
]}

Zhang, Ning ^{[3
,4
]}

机构：

[1] Sun Yat Sen Univ, Lingnan Univ Coll, Guangzhou, Guangdong, Peoples R China

[2] Stevens Inst Technol, Financial Engn Div, Sch Syst & Enterprises, Hoboken, NJ USA

[3] Jinan Univ, Dept Econ, Guangzhou, Guangdong, Peoples R China

[4] Qilu Univ Technol, China Inst Micro Small & Medium Sized Enterprises, Jinan, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2016年 / 19卷

基金：

中国国家自然科学基金;

关键词：

American put options; Vega; Exercise boundary; Integral equation; VALUATION;

D O I：

10.1016/j.frl.2016.07.013

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

There is an inaccurate formula in Huang et al. (1996). In fact, a substantial term is missing in their equation (14) for computing the value of an important option hedging parameter, i.e., the vega. We fix it in this note by providing its correct form and characterizing an associated (new) integral equation. Some related explanations and arguments are also corrected. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：204 / 208

页数：5

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