Tài liệu hạn chế xem trước, để xem đầy đủ mời bạn chọn Tải xuống
1
/ 16 trang
THÔNG TIN TÀI LIỆU
Thông tin cơ bản
Định dạng
Số trang
16
Dung lượng
167,52 KB
Nội dung
Chapter 25 AmericanOptions This and the following chapters form part of the course Stochastic Differential Equations for Fi- nance II. 25.1 Preview of perpetual American put dS = rS dt + S dB Intrinsic value at time t :K,St + : Let L 2 0;K be given. Suppose we exercise the first time the stock price is L or lower. We define L = minft 0; S t Lg; v L x=IEe ,r L K , S L + = K , x if x L , K , LIEe ,r L if xL: Theplanistocomute v L x andthenmaximizeover L to find the optimal exercise price. We need to know the distribution of L . 25.2 First passage times for Brownian motion: first method (Based on the reflection principle) Let B be a Brownian motion under IP ,let x0 be given, and define = minft 0; B t=xg: is called the first passage time to x . We compute the distribution of . 247 248 K K x Intrinsic value Stock price Figure 25.1: Intrinsic value of perpetual American put Define M t = max 0ut B u: From the first section of Chapter 20 we have IP fM t 2 dm; B t 2 dbg = 22m , b t p 2t exp , 2m , b 2 2t dm db; m0;b m: Therefore, IP fM t xg = Z 1 x Z m ,1 22m , b t p 2t exp , 2m , b 2 2t db dm = Z 1 x 2 p 2t exp , 2m , b 2 2t b=m b=,1 dm = Z 1 x 2 p 2t exp , m 2 2t dm: We make the change of variable z = m p t in the integral to get = Z 1 x= p t 2 p 2 exp , z 2 2 dz : Now tM t x; CHAPTER 25. AmericanOptions 249 so IP f 2 dtg = @ @t IP f tg dt = @ @t IP fM t xg dt = " @ @t Z 1 x= p t 2 p 2 exp , z 2 2 dz dt = , 2 p 2 exp , x 2 2t : @ @t x p t dt = x t p 2t exp , x 2 2t dt: We also have the Laplace transform formula IEe , = Z 1 0 e ,t IP f 2 dtg = e ,x p 2 ; 0: (See Homework) Reference: Karatzas and Shreve, Brownian Motion and Stochastic Calculus, pp 95-96. 25.3 Drift adjustment Reference: Karatzas/Shreve, Brownian motion and Stochastic Calculus, pp 196–197. For 0 t1 ,define e B t=t + Bt; Z t = expf,B t , 1 2 2 tg; = expf, e B t+ 1 2 2 tg; Define ~ = minft 0; e B t=xg: We fix a finite time T and change the probability measure “only up to T ”. More specifically, with T fixed, define f IP A= Z A ZTdP; A 2FT: Under f IP , the process e B t; 0 t T , is a (nondrifted) Brownian motion, so f IP f ~ 2 dtg = IP f 2 dtg = x t p 2t exp , x 2 2t dt; 0 tT: 250 For 0 tT we have IP f ~ tg = IE h 1 f ~ tg i = f IE 1 f ~ tg 1 Z T = f IE h 1 f ~ tg expf e B T , 1 2 2 T g i = f IE 1 f ~ tg f IE expf e B T , 1 2 2 T g F ~ ^ t = f IE h 1 f ~ tg expf e B ~ ^ t , 1 2 2 ~ ^ tg i = f IE h 1 f~tg expfx , 1 2 2 ~ g i = Z t 0 expfx , 1 2 2 sg f IP f~ 2 dsg = Z t 0 x s p 2s exp x , 1 2 2 s , x 2 2s ds = Z t 0 x s p 2s exp , x , s 2 2s ds: Therefore, IP f ~ 2 dtg = x t p 2t exp , x , t 2 2t dt; 0 tT: Since T is arbitrary, this must in fact be the correct formula for all t0 . 25.4 Drift-adjusted Laplace transform Recall the Laplace transform formula for = minft 0; B t=xg for nondrifted Brownian motion: IEe , = Z 1 0 x t p 2t exp ,t , x 2 2t dt = e ,x p 2 ; 0;x 0: For ~ = minft 0; t + Bt=xg; CHAPTER 25. AmericanOptions 251 the Laplace transform is IEe ,~ = Z 1 0 x t p 2t exp ,t , x , t 2 2t dt = Z 1 0 x t p 2t exp ,t , x 2 2t + x , 1 2 2 t dt = e x Z 1 0 x t p 2t exp , + 1 2 2 t , x 2 2t dt = e x,x p 2+ 2 ; 0;x 0; where in the last step we have used the formula for IEe , with replaced by + 1 2 2 . If ~ ! 1 ,then lim 0 e , ~ ! =1; if ~ ! =1 ,then e , ~ ! =0 for every 0 ,so lim 0 e , ~ ! =0: Therefore, lim 0 e , ~ ! = 1 ~1 : Letting 0 and using the Monotone Convergence Theorem in the Laplace transform formula IEe ,~ = e x,x p 2+ 2 ; we obtain IP f ~1g = e x,x p 2 = e x,xj j : If 0 ,then IP f ~1g =1: If 0 ,then IP f ~1g = e 2x 1: (Recall that x0 ). 25.5 First passage times: Second method (Based on martingales) Let 0 be given. Then Y t = expfB t , 1 2 2 tg 252 is a martingale, so Y t ^ is also a martingale. We have 1=Y0 ^ = IEY t ^ = IE expfBt ^ , 1 2 2 t ^ g: = lim t!1 IE expfBt ^ , 1 2 2 t ^ g: We want to take the limit inside the expectation. Since 0 expfB t ^ , 1 2 2 t ^ ge x ; this is justified by the Bounded Convergence Theorem. Therefore, 1=IE lim t!1 expfBt ^ , 1 2 2 t ^ g: There are two possibilities. For those ! for which ! 1 , lim t!1 expfBt ^ , 1 2 2 t ^ g = e x, 1 2 2 : For those ! for which ! =1 , lim t!1 expfB t ^ , 1 2 2 t ^ g lim t!1 expfx , 1 2 2 tg =0: Therefore, 1=IE lim t!1 expfB t ^ , 1 2 2 t ^ g = IE e x, 1 2 2 1 1 = IEe x, 1 2 2 ; where we understand e x, 1 2 2 to be zero if = 1 . Let = 1 2 2 ,so = p 2 . We have again derived the Laplace transform formula e ,x p 2 = IEe , ; 0;x 0; for the first passage time for nondrifted Brownian motion. 25.6 Perpetual American put dS = rS dt + S dB S 0 = x S t=xexpfr , 1 2 2 t + Btg = x exp 8 : 2 6 6 6 4 r , 2 | z t + B t 3 7 7 7 5 9 = ; : CHAPTER 25. AmericanOptions 253 Intrinsic value of the put at time t : K , S t + . Let L 2 0;K be given. Define for x L , L = minft 0; S t=Lg = minft 0; t + Bt= 1 log L x g = minft 0; ,t , Bt= 1 log x L g Define v L =K,LIEe ,r L =K,L exp , log x L , 1 log x L p 2r + 2 =K,L x L , , 1 p 2r+ 2 : We compute the exponent , , 1 p 2r + 2 = , r 2 + 1 2 , 1 s 2r + r , =2 2 = , r 2 + 1 2 , 1 s 2r + r 2 2 , r + 2 =4 = , r 2 + 1 2 , 1 s r 2 2 + r + 2 =4 = , r 2 + 1 2 , 1 s r + =2 2 = , r 2 + 1 2 , 1 r + =2 = , 2r 2 : Therefore, v L x= 8 : K,x; 0x L; K , L , x L ,2r= 2 ; x L: The curves K , L , x L ,2r= 2 ; are all of the form Cx ,2r= 2 . We want to choose the largest possible constant. The constant is C =K,LL 2r= 2 ; 254 σ 2 -2r/ K K x Stock price K - x (K - L) (x/L) value Figure 25.2: Value of perpetual American put σ 2 -2r/ C 1 x σ 2 -2r/ x C 2 σ 2 -2r/ x C 3 x Stock price value Figure 25.3: Curves. CHAPTER 25. AmericanOptions 255 and @C @L = ,L 2r 2 + 2r 2 K , LL 2r 2 ,1 = L 2r 2 ,1+ 2r 2 K ,L 1 L = L 2r 2 , 1+ 2r 2 + 2r 2 K L : We solve , 1+ 2r 2 + 2r 2 K L =0 to get L = 2rK 2 +2r : Since 0 2r 2 +2r; we have 0 LK: Solution to the perpetual American put pricing problem (see Fig. 25.4): v x= 8 : K,x; 0x L ; K,L , x L ,2r= 2 ; x L ; where L = 2rK 2 +2r : Note that v 0 x= ,1; 0 xL ; , 2r 2 K,L L 2r= 2 x ,2r= 2 ,1 ; xL : We have lim xL v 0 x=,2 r 2 K,L 1 L =,2 r 2 K, 2rK 2 +2r 2 +2r 2rK = ,2 r 2 2 +2r,2r 2 +2r ! 2 +2r 2r = ,1 = lim x"L v 0 x: 256 σ 2 -2r/ K K x Stock price K - x value (K - L ) (x/L ) * * * L Figure 25.4: Solution to perpetual American put. 25.7 Value of the perpetual American put Set = 2r 2 ; L = 2rK 2 +2r = +1 K: If 0 xL ,then v x= K ,x .If L x1 ,then v x= K ,L L | z C x , (7.1) = IE x h e ,r K , L + 1 f1g i ; (7.2) where S 0 = x (7.3) = minft 0; S t=L g: (7.4) If 0 xL ,then ,rvx+ rxv 0 x+ 1 2 2 x 2 v 00 x=,rK,x+ rx,1 = ,rK: If L x1 ,then ,rvx+rxv 0 x+ 1 2 2 x 2 v 00 x = C,rx , , rxx ,,1 , 1 2 2 x 2 , , 1x , ,2 = Cx , ,r , r , 1 2 2 , , 1 = C , , 1x , r , 1 2 2 2r 2 =0: In other words, v solves the linear complementarity problem: (See Fig. 25.5). [...]... the Laplace transform formula for = minft 0; B t = xg for nondrifted Brownian motion: IEe, For Z1 x x2 dt = e,xp2 ; p exp , t , 2t = 0 t 2t ~ = minft 0; t + B t = xg; 0; x 0: CHAPTER 25 AmericanOptions the Laplace transform is 251 Z1 x x , t2 dt p exp , t , 2t 0 t 2t Z1 x x2 + x , 1 2 t dt p exp , t , 2t = 2 0 t 2t Z1 x 2 1 2 t , x x p exp , + 2 =e dt 2t t 2t IEe, ~ = 0 . Value of perpetual American put σ 2 -2r/ C 1 x σ 2 -2r/ x C 2 σ 2 -2r/ x C 3 x Stock price value Figure 25.3: Curves. CHAPTER 25. American Options 255 and. 1 x= p t 2 p 2 exp , z 2 2 dz : Now tM t x; CHAPTER 25. American Options 249 so IP f 2 dtg = @ @t IP f tg dt = @ @t IP fM t xg dt