英文标题：
《Effective and simple VWAP option pricing model》
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作者：
Alexander Buryak and Ivan Guo
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最新提交年份：
2014
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英文摘要：
  Volume weighted average price (VWAP) options are a popular security type in many countries, but despite their popularity very few pricing models have been developed so far for VWAP options. This can be explained by the fact that the VWAP pricing problem is set in an incomplete market since there is no underlying with which to hedge the volume risk, and hence there is no uniquely defined price. Any price, which is obtained will include a market price of volume risk which must be determined from the corresponding volume statistics. Our analysis strongly supports the hypothesis that the empirical volume statistics of ASX equities can be described reasonably well by fitted gamma distributions. Based on this observation we suggest a simple gamma process-based model that allows for the exact analytic pricing of VWAP options in a rather straightforward way.
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中文摘要：
成交量加权平均价格（VWAP）期权在许多国家是一种流行的证券类型，但尽管它们很受欢迎，但迄今为止，为VWAP期权开发的定价模型很少。这可以通过以下事实来解释：VWAP定价问题是在一个不完整的市场中设定的，因为没有对冲交易量风险的基础，因此没有唯一定义的价格。获得的任何价格都将包括交易量风险的市场价格，该价格必须根据相应的交易量统计数据确定。我们的分析强烈支持这样一个假设，即ASX股票的经验交易量统计数据可以通过拟合伽马分布得到合理的描述。基于这一观察，我们提出了一个简单的基于伽马过程的模型，该模型允许以一种相当简单的方式对VWAP期权进行精确的分析定价。
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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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