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首页> 外文期刊>The North American journal of economics and finance >An analytical approximation approach for pricing European options in a two-price economy
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An analytical approximation approach for pricing European options in a two-price economy

机译：二价经济中对欧洲期权定价的分析近似方法

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摘要

Classical option pricing theories are usually built on the law of one price, while ignoring the impact of market liquidity on bid-ask spreads. The theory of conic finance replaces the law of one price by the law of two prices, allowing for market participants sell to the market at the bid price and buy from the market at the higher ask price. In this paper, we present a numerical method to calculate the bid and ask prices for the European options. The numerical method is based on the combination of Fourier cosine approximations and numerical integration, which provides an efficient and fast way to compute the bid and ask prices and calibrate the model parameters in real market. Numerical experiments demonstrate the accuracy of our presented numerical method by comparing with Monte Carlo simulation. To better illustrate the practicability of our presented numerical method, we consider the European options written on SSE 50 ETF traded at the Shanghai Stock Exchange.
机译：古典期权定价理论通常建立在一个价格定律的基础上，而忽略了市场流动性对买卖价差的影响。圆锥金融理论将一个价格定律替换为两个价格定律，允许市场参与者以买入价卖给市场并以更高的要价从市场买入。在本文中，我们提出了一种数值方法来计算欧式期权的买入和卖出价格。数值方法是基于傅里叶余弦近似和数值积分的组合，它提供了一种有效，快速的方法来计算买入和卖出价格以及在实际市场中校准模型参数。数值实验通过与蒙特卡洛模拟的比较证明了我们提出的数值方法的准确性。为了更好地说明我们提出的数值方法的实用性，我们考虑在上海证券交易所交易的SSE 50 ETF上写的欧洲期权。

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