摘要翻译：
绝大多数关于期权定价的研究都是在风险中性估值的假设下进行的，因此研究的重点是期权收益的期望值，而没有考虑风险参数，如方差。我们证明了可以给出欧式期权（vanilla看涨和看跌，以及障碍期权）收益方差的显式公式，而对于美式期权，方差可以使用PDE方法来计算，包括一个修正的Black-Scholes PDE。我们展示了对于期权中的个人投资者来说，考虑风险参数的必要性，如方差，以及无价值到期的概率(PEW)是如何自然而然地出现的。此外，我们还证明了在一个简单的风险寻求期权定价模型中会出现波动率微笑。
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英文标题：
《The Variance of Standard Option Returns》
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作者：
Adi Ben-Meir, Jeremy Schiff
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, such as variance. We show that it is possible to give explicit formulae for the variance of European option returns (vanilla calls and puts, as well as barrier options), and that for American options the variance can be computed using a PDE approach, involving a modified Black-Scholes PDE. We show how the need to consider risk parameters, such as the variance, and also the probability of expiring worthless (PEW), arises naturally for individual investors in options. Furthermore, we show that a volatility smile arises in a simple model of risk-seeking option pricing.
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PDF链接：
https://arxiv.org/pdf/1204.3452