论文标题
行为选择定价的理性财务方法
Rational Finance Approach to Behavioral Option Pricing
论文作者
论文摘要
当定价选项时，对基础价格过程的瞬时平均回报可能会有不同的看法。根据布莱克（Black，1972）的说法，在瞬时均值回报上存在异质观点，这将带来套利机会。行为金融支持者认为，这种异质观点可能会发生，这不会影响理性动态资产定价理论提出的期权定价模型，并且不会引起波动性的笑容。为了纠正这一点，行为融资的主要倡导者提出了行为选择定价模型。由于行为和合理方法之间可能存在未探索的链接，因此在本文中，我们重新访问Shefrin（2008）选项定价模型作为示例，并提出了一种方法来修改这种行为融资期权定价公式，以使其与合理的动态资产定价一致，以与对套利交易的合理性动态资产定价一致，从而使套利交易成本不超过套利交易，从而使套利交易成本不超过仲裁仲裁。
When pricing options, there may be different views on the instantaneous mean return of the underlying price process. According to Black (1972), where there exist heterogeneous views on the instantaneous mean return, this will result in arbitrage opportunities. Behavioral finance proponents argue that such heterogenous views are likely to occur and this will not impact option pricing models proposed by rational dynamic asset pricing theory and will not give rise to volatility smiles. To rectify this, a leading advocate of behavioral finance has proposed a behavioral option pricing model. As there may be unexplored links between the behavioral and rational approaches to option pricing, in this paper we revisit Shefrin (2008) option pricing model as an example and suggest one approach to modify this behavioral finance option pricing formula to be consistent with rational dynamic asset pricing theory by introducing arbitrage transaction costs which offset the gains from arbitrage trades.
