英文标题：
《On the optimal choice of strike conventions in exchange option pricing》
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作者：
Elisa Al\\`os and Michael Coulon
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最新提交年份：
2018
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英文摘要：
  An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives. By means of Malliavin Calculus we construct an optimal log-linear strikevconvention for exchange options under stochastic volatility models. This novel approach allows us to minimize the difference between the corresponding Margrabe computed price and the true option price. We show that this optimal convention does not depend on the specific stochastic volatility model chosen. Numerical examples are given which provide strong support to the new methodology.
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中文摘要：
一个重要但很少涉及的期权定价问题是，在为更奇异的多资产衍生品定价时，如何为隐含波动率输入选择适当的冲击。利用Malliavin演算，我们构造了随机波动率模型下交换期权的最优对数线性罢工约定。这种新颖的方法使我们能够最小化相应的Margrabe计算价格与真实期权价格之间的差异。我们证明了这种最优约定不依赖于所选的特定随机波动率模型。给出了数值算例，为新方法提供了有力的支持。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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