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                    負價格的常規期權
                    日期: 2020-07-01

                    Negative Prices for Vanilla Options 負價格的常規期權

                    講座嘉賓: 向巨?

                    2020.07.02(星期四)16:00-17:30?

                    講座地點? ?慧園3棟315會議室?

                    講座語言? ?中英雙語


                    向巨,南方科技大學金融系助理教授,2011年第二屆宏基世業私募股權行業研究大 賽最佳指導老師,2012年第三屆宏基世業私募股權行業研究大賽指導專家。深圳市 地方級領軍人才 (2013)yabo亚博app。研究領域包括金融工程、風險管理、金融智能及量化投資 等領域。主筆“Intraday asymmetric volatility and asymmetric liquidity in FTSE-100 futures market”, “A Regime-Switching Nelson-Siegel Term Structure Model and Interest Rate? Forecasts”, “Optimal Buying at the Global Minimum in a Regime Switching Model”, “Artificial Intelligence's Expanding Predictability in Finance and Economics” 等論文yabo亚博appyabo亚博app。?


                    I identify a third state which should be priced-in b e f o r e buying options,in addition to the two states of ITM (In-the-Money) and AOTM (At or Out-of-theMoney) at exercise in the traditional Option Pricing Theory (OPT). OPT’s two states are more applicable when options are alr e a d y bought. Researchers and practitioners are commonly misled by the zero-payoff-at-worst to believe that vanilla options take non-negative prices only. On the contrary, the third state may lead to negative real payoffs due to heterogeneous unhedged costs of certain options, and to possible negative option prices (NOPs) which are presented with game theory and representative utility function models. NOPs have implications for financial markets and regulations (e.g. option quotes and market-making), and accounting principles (e.g. employee stock options).


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