CN115860940A - Option estimation method, option estimation apparatus, electronic device, option estimation medium, and program product - Google Patents
Option estimation method, option estimation apparatus, electronic device, option estimation medium, and program product Download PDFInfo
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Abstract
The application discloses an option valuation method, an option valuation device, an electronic device, a medium and a program product. The method comprises the following steps: acquiring an option valuation date of the Asian foreign exchange option; determining the corresponding relation between the option valuation date and the option characteristic date; wherein the option characteristic day includes at least: a first fixed-disc day, a last fixed-disc day, an option due date and a delivery date; selecting a target valuation model corresponding to the corresponding relation from a plurality of preset valuation models based on the corresponding relation; and obtaining the evaluation value of the Asian foreign exchange option based on the target evaluation model. And calculating the effect of the pressure type foreign exchange option estimation in a universal way.
Description
Technical Field
The present application relates to the field of financial technology, and in particular, to an option valuation method, apparatus, electronic device, medium, and program product.
Background
The asian foreign exchange option refers to an option settlement price or a right price, which depends on an average value of observations over a certain period of time in a validity period, and may be specifically classified into an average price option and an average execution price option.
The evaluation of the Asian foreign exchange option mainly depends on Monte Carlo model and finite difference and other numerical algorithms, but the algorithms have poor universality.
Disclosure of Invention
An object of the embodiments of the present application is to provide an option estimation method, apparatus, electronic device, medium, and program product, which are capable of calculating a pressing-type forex option estimation effect with versatility.
The technical scheme of the application is as follows:
in a first aspect, a method for option estimation is provided, the method comprising:
acquiring an option valuation date of the Asian foreign exchange option;
determining the corresponding relation between the option valuation date and the option characteristic date; wherein the option characteristic day includes at least: the first fixed-plan day, the last fixed-plan day, the option due date and the delivery date;
selecting a target estimation model corresponding to the corresponding relation from a plurality of preset estimation models based on the corresponding relation;
and obtaining the estimation of the Asian foreign exchange option based on the target estimation model.
In a second aspect, an option estimation apparatus is provided, which includes:
the first acquisition module is used for acquiring the option valuation date of the Asian foreign exchange option;
the first determining module is used for determining the corresponding relation between the option valuation date and the option characteristic date; wherein the option characteristic day includes at least: a first fixed-disc day, a last fixed-disc day, an option due date and a delivery date;
the selection module is used for selecting a target valuation model corresponding to the corresponding relation from a plurality of preset valuation models based on the corresponding relation;
and the second determination module is used for obtaining the estimation of the Asian foreign exchange option based on the target estimation model.
In a third aspect, an embodiment of the present application provides an electronic device, which includes a processor, a memory, and a program or instructions stored in the memory and executable on the processor, where the program or instructions, when executed by the processor, implement the steps of the option estimation method according to any one of the embodiments of the present application.
In a fourth aspect, the present application provides a readable storage medium, on which a program or instructions are stored, where the program or instructions, when executed by a processor, implement the steps of the option evaluation method according to any one of the embodiments of the present application.
In a fifth aspect, the present application provides a computer program product, where instructions of the computer program product, when executed by a processor of an electronic device, enable the electronic device to perform the steps of the option estimation method according to any one of the embodiments of the present application.
The technical scheme provided by the embodiment of the application at least has the following beneficial effects:
in the embodiment of the application, the option valuation date of the Asian-style foreign exchange option is obtained, the corresponding relation between the option valuation date and the option characteristic date is determined, based on the corresponding relation, a target valuation model corresponding to the corresponding relation can be selected from a plurality of preset valuation models, then based on the target valuation model, the valuation of the Asian-style foreign exchange option can be directly obtained, because the target valuation model is a model corresponding to the corresponding relation selected from the plurality of preset valuation models, the target valuation models required by different corresponding relations are met, the Asian-style foreign exchange option valuation can be well matched, and the flexibility and the universality are strong.
It is to be understood that both the foregoing general description and the following detailed description are exemplary and explanatory only and are not restrictive of the application.
Drawings
The accompanying drawings, which are incorporated in and constitute a part of this specification, illustrate embodiments consistent with the present application and, together with the description, serve to explain the principles of the application and are not to be construed as limiting the application.
Fig. 1 is a schematic flowchart of an option valuation method according to an embodiment of the first aspect of the present application;
FIG. 2 is a schematic representation of the relationship between characteristic days of Asian foreign exchange options according to an embodiment of the first aspect of the present application;
fig. 3 is a schematic structural diagram of an option estimation apparatus according to an embodiment of the second aspect of the present application;
fig. 4 is a schematic structural diagram of an electronic device according to an embodiment of a third aspect of the present application.
Detailed Description
In order to make the technical solutions of the present application better understood by those of ordinary skill in the art, the technical solutions in the embodiments of the present application will be clearly and completely described below with reference to the accompanying drawings. It should be understood that the specific embodiments described herein are intended to be illustrative only and are not intended to be limiting. It will be apparent to one skilled in the art that the present application may be practiced without some of these specific details. The following description of the embodiments is merely intended to provide a better understanding of the present application by illustrating examples thereof.
It should be noted that the terms "first," "second," and the like in the description and claims of this application and in the drawings described above are used for distinguishing between similar elements and not necessarily for describing a particular sequential or chronological order. It should be understood that the data so used may be interchanged under appropriate circumstances such that embodiments of the application described herein may be implemented in sequences other than those illustrated or described herein. The embodiments described in the following exemplary embodiments do not represent all embodiments consistent with the present application. Rather, they are merely examples consistent with certain aspects of the present application, as detailed in the appended claims.
It should be noted that, in the technical solution of the present application, the acquisition, storage, use, processing, etc. of data all conform to the relevant regulations of the national laws and regulations.
In the prior art, the current asian foreigner option estimation model cannot support variable observation time intervals and estimation of products with due dates after the last observation date, and the current asian foreigner option estimation model does not take the fluctuation rate period into account, so that the current asian foreigner option estimation model has no universality and flexibility.
In order to solve the above problems, embodiments of the present application provide an option estimation method, apparatus, electronic device, medium, and program product, in which an option estimation date of an asian foreigner option is obtained, a correspondence between the option estimation date and an option feature date is determined, based on the correspondence, a target estimation model corresponding to the correspondence may be selected from a plurality of preset estimation models, and then based on the target estimation model, an estimation of the asian foreigner option may be directly obtained.
The option evaluation method provided in the embodiment of the present application is described in detail below with reference to the accompanying drawings by using specific embodiments and application scenarios thereof.
Fig. 1 is a schematic flow chart of an option estimation method according to an embodiment of the present application, where an execution subject of the option estimation method may be a server. It should be noted that the execution body does not constitute a limitation of the present application.
As shown in fig. 1, the option estimation method provided by the embodiment of the present application may include steps 110 to 140.
Step 110, acquiring option valuation date of the Asian foreign exchange option.
Wherein the option valuation date may be a date of valuation of options of the Asian fx option. The date can be selected according to the user's requirement, and is not limited herein.
And step 120, determining the corresponding relation between the option valuation date and the option characteristic date.
Wherein, the option characteristic day may be a key day for characterizing the evaluation of the asian foreign exchange option, and the option characteristic day may at least include: the first fixed-plan day, the last fixed-plan day, the option due date, and the delivery date.
The first fixed day may be the first day of the fixed in the observation area.
The last fixed disk day may be the last day of the observation interval fixed disk.
The option due date may be a date when the Asian foreign exchange option is due.
The delivery date may be the date the delivery of the cash flow was made after the expiration of the Asian fx option.
In some embodiments of the present application, the relationship between several characteristic days of the asian fx option may be as shown in fig. 2, where T1 is the first offer day, tn-1 is the second to last offer day, tn is the last offer day, texp is the option due date, tdel is the delivery date, and T1 to Tn are observation intervals.
And step 130, selecting a target estimation model corresponding to the corresponding relation from a plurality of preset estimation models based on the corresponding relation.
The plurality of preset estimation models may be estimation models that are preset and can calculate a plurality of scenes.
The target estimation model may be an estimation model corresponding to the correspondence relationship selected from a plurality of preset estimation models.
And step 140, obtaining an evaluation of the Asian foreign exchange option based on the target evaluation model.
In some embodiments of the present application, the estimate of the Asian foreign exchange option may be directly calculated based on the target estimation model.
In some embodiments of the present application, to further achieve the flexibility and versatility of the option estimation model in the present application, the estimate of the asian foreign exchange option may include a drop option estimate of the asian foreign exchange option, and correspondingly, the step 130 may specifically include:
selecting a target put option valuation model corresponding to the corresponding relation from a plurality of preset valuation models based on the corresponding relation;
step 140 may specifically include:
and obtaining the fall option valuation of the Asian foreign exchange option based on the target fall option valuation model.
The target forever valuation model may be a model used to calculate the forever valuations for the asian foreign exchange options, among other things.
In the embodiment of the application, when the evaluation of the asian foreigner options includes a drop option evaluation of the asian foreigner options, a target drop option evaluation model corresponding to the corresponding relation is selected from a plurality of preset evaluation models based on the corresponding relation, so that the drop option evaluation of the asian foreigner options can be directly obtained based on the target drop option evaluation model, and the flexibility and the universality of the option evaluation model in the application are further improved.
In some embodiments of the present application, to further implement the flexibility and versatility of the mid-term option valuation model of the present application, the submultiple valuation of the fx option may include an expiring option valuation of the submultiple option, and correspondingly, step 130 may specifically include:
selecting a target expanding option valuation model corresponding to the corresponding relation from a plurality of preset valuation models based on the corresponding relation;
step 140 may specifically include:
and obtaining the expanding option estimation value of the Asian type foreign exchange option based on the target expanding option estimation model.
The target call option estimate model may be a model for calculating the call option estimate for the asian foreigner option.
In the embodiment of the application, under the condition that the evaluation of the Asian foreigner options comprises the call evaluation of the Asian foreigner options, the target call evaluation model corresponding to the corresponding relation is selected from a plurality of preset evaluation models based on the corresponding relation, so that the call evaluation of the Asian foreigner options can be directly obtained based on the target call evaluation model, and the flexibility and the universality of the call evaluation model in the application are further improved.
In some embodiments of the present application, to further achieve the flexibility and versatility of the claim-as-you-go estimation model in the present application, the step 130 may specifically include:
and selecting a target valuation model which corresponds to the corresponding relation and the type of the Asian foreign exchange option from a plurality of preset valuation models based on the corresponding relation and the type of the Asian foreign exchange option.
The type of the asian fx option may specifically include: geometric mean price options, arithmetic mean price options, geometric mean execution price options, and arithmetic mean execution price options.
In the embodiment of the application, based on the corresponding relationship and the type of the asian foreign exchange option, a target evaluation model corresponding to the corresponding relationship and the type of the asian foreign exchange option can be selected from a plurality of preset evaluation models, so that the flexibility and the universality of the option evaluation model in the application are further improved.
The following details are provided for determining and calculating the evaluation of the asian foreign exchange option according to the correspondence between the option evaluation date and the option characteristic date and the type of the asian foreign exchange option:
(1) The Asian type of foreign exchange option is geometric mean price option
(a) The corresponding relation between the option valuation date and the option characteristic date is T n ≤t≤T del The case (2) is as follows:
if the Asian foreign exchange option is observed to be over, T ≧ T n Since the return of Asian option is fully determined, just waiting for delivery, at T n ≤t≤T del In between, the return of the sub-formula foreign exchange option is determined, and the sub-formula foreign exchange option estimation formula is as follows:
the evaluation of the call option is calculated as shown in equation (1):
the estimate of the drop option is calculated as shown in equation (2):
wherein, T n The last fixed disk day; t is option valuation date; t is del Is the delivery day; c is the call of the Asian foreigner option, p is the call of the Asian foreigner option; max [ S ] ave (T n )-K,0]Max [ K-S ] for call option return ave (T n ),0]Returning for the call option; s ave (T n ) Denotes the cut-off T n Determining the geometric mean value of the exchange rate of the disk at any moment; r d No risk interest rate exists in China on delivery days; k is the right price.
It should be noted that, since cash flow occurs on the delivery day, the domestic risk-free interest rate from the evaluation day to the delivery day needs to be discounted.
(b) The corresponding relation between the option valuation date and the option characteristic date is t<T n The case (2) is as follows:
if the estimated date is less than the last fixed disk date, i.e. t<T n Then the evaluation of the call option is calculated as shown in equation (3):
the estimate of the drop option is calculated as shown in equation (4):
wherein c is a grand option of the Asian-type foreigner option; p is a fall option of the Asian forex option;
S t estimating an on-demand rate for the option date; s i The ith fixed disc exchange rate is that i is from 1 to m; f i Is the ith forward rate, i is from m +1 to n; r f No risk interest rate exists abroad for delivery of the national treasures; sigma i The implicit fluctuation rate of the ith fixed disk day is represented; t is exp Is the option due date; t is i The ith fixed disk day; n (.) represents the cumulative distribution function of a standard normal random variable; n total observed number counted by the observation period information table; m is the number of observations that have occurred.
In the above equations (3) and (4), the variable observation time interval (T) is considered i ) And the local fluctuation rate (σ) in the long term i )。
(2) The Asian foreign exchange option is of geometric mean executive price option type
(a) The corresponding relation between the option valuation date and the option characteristic date is T = T exp The case (2) is as follows:
the evaluation of the call option is calculated as shown in equation (5):
the evaluation of the call option is calculated as shown in equation (6):
(b) The corresponding relation between the option valuation date and the option characteristic date is T n ≤t<T exp The case (2) is as follows:
if the observation period has ended but the option has not expired, i.e., T n ≤t<T exp Then, since the row option price is already determined, the Asian option becomes a standard European option, and the row option price is the geometric mean S ave (T n ) At this time, the Black option pricing model (specifically, the Black 1976 model) can be directly used for estimation.
The evaluation of the call option is calculated as shown in equation (7):
the evaluation of the call option is calculated as shown in equation (8):
wherein the content of the first and second substances,
in addition, F represents F (T, T) exp ) I.e., the forward exchange rate of the due date the station looked at on the evaluation date.
(c) The corresponding relation between the option valuation date and the option characteristic date is t<T n The case (2) is as follows:
the evaluation of the call option is calculated as shown in equation (9):
wherein, the first and the second end of the pipe are connected with each other,
D 1 ＝D 2 +∑；
b＝R d -R f 。
the evaluation of the call option is calculated as shown in equation (10):
the meaning of each parameter for the case (2) is as follows:
S t indicating an on-demand rate for an estimated day; f represents the forward exchange rate of the due date; s i The ith fixed disk exchange rate is represented, and i is from 1 to m; f i Represents the ith forward disc exchange rate, i is from m +1 to n; k-represents the row right price, and for the geometric mean row right price, only the expected row right price can be obtained on the valuation day,
thereby obtaining an interpolated fluctuation ratio; r d Representing the domestic risk-free interest rate of the delivery day; r f Representing the no risk interest rate abroad on delivery days; b represents the cost of ownership of the expiration date foreign exchange; sigma i The implicit fluctuation rate of the ith fixed disk day is represented; t represents an estimated date; t is exp Indicating an option due date; t is del Representing option delivery day; t is i Indicating the ith fixed disk day; n (.) represents the cumulative distribution function of a standard normal random variable; n represents the total observation number counted by the observation period information table; m represents the number of observations that have occurred.
(3) The Asian foreign exchange option is of the arithmetic mean price option type
In trading practice, the subformula options of the arithmetic mean class hold a larger market share than the subformula options of the geometric mean class. But there is a problem with pricing in that their prices are difficult to express in the form of an analytical solution.
The arithmetic mean-Likelihood (LMA) option can be expressed in return by the following equation:
the call option returns the following formula:
Max[S ave (T n )-K,0]
the call drop option return is given by the following formula:
Max[K-S ave (T n ),0]
here, the average is an arithmetic average.
S ave (T n ) Denotes the cut-off T n The arithmetic mean of the moment order rate. As can be readily seen from the reward formula, at the end of the observation period, S ave (T n ) It has been determined that although the option has not expired, the return on the option has been fully determined, just waiting for the cash flow to be delivered.
This requirement uses the second moment approximation of Levy (1992) to estimate the arithmetic mean price subformula option value.
(a) The corresponding relation between the option valuation date and the option characteristic date is T n ≤t≤T del The case (2) is as follows:
if the option has been observed to be over, T ≧ T n Since the return of options is fully determined, just waiting for delivery, at T n ≤t≤T del In between, the return of options is determined, and the option valuation formula is as follows:
the evaluation of the call option is calculated as shown in equation (11):
the estimate of the drop option is calculated as shown in equation (12):
(b) The corresponding relation between the option valuation date and the option characteristic date is t<T n The case (2) is as follows:
in this scenario, option estimates can be calculated by using a risk neutral transformation formula of Cox and Ross (1976):
the evaluation of the call option is calculated as shown in equation (13):
wherein the content of the first and second substances,
here, A (t) may be n ) Splitting into a fixed disk part and an unfixed disk part:
now, the formula (13) can be further converted to obtain the following formula (14):
wherein the content of the first and second substances,
d 2 ＝d 1 -v(t)；/>
the key to the problem is to find E * [M(t)]And E * [M(t) 2 ]. Two desirable expressions are as follows:
E * [M(t) 2 ]the code can be obtained by embedding two loops, and the definition of M is noted, wherein the division is n and is not n-M.
The method is characterized in that: if n =1, it means that there are only 1 fixed disk values.
(i) When m =0, i.e. not entering the observation period:
E * [M(t)]＝F 1
(ii) When m =1, the disc has been finalized.
The evaluation of the call option is calculated as shown in equation (15):
in some embodiments of the present application, as can be seen from the above several cases, the parameters of the target estimation model may include a row weight K, and in some cases, there may be a case where the row weight is adjusted, and the extra-low option is an arithmetic average in the asian foreign exchange optionThe average price option and the option valuation date after the last fixed disk date (i.e. in the above-mentioned (3) case, the corresponding relation between the option valuation date and the option characteristic date is t<T n In this case), after step 130, the option estimation method may further include:
responding to the adjustment operation of the row right price to obtain a target row right price; wherein the target row weight is less than or equal to 0;
updating the target valuation model based on the target row weight price to obtain an updated target valuation model;
step 140 may specifically include:
and obtaining the evaluation value of the Asian foreign exchange option based on the updated target evaluation model.
The target row right price may be a row right price obtained by adjusting the original row right price.
In one example, for the case (3) above, the correspondence between the option valuation date and the option characteristic date is t<T n A sub-scenario K of * If the observation interval m is entered under the condition of less than or equal to 0>0, since the row weights are adjusted to:
if K is * Less than or equal to 0, i.e.
For a call option with negative row price and a certain row option, the call option can be evaluated as a forward contract, and the improved formula of formula (13) is as follows:
for a put option, the expiration must be a null option, with an option value of 0. The option value may be expressed as: p =0.
In the embodiment of the application, the target bank right price is obtained by responding to the adjustment operation of the bank right price, the target valuation model is updated based on the target bank right price to obtain the updated target valuation model, and the evaluation of the Asian foreign exchange option is obtained based on the updated target valuation model, so that the universality of the valuation model is further increased.
In some embodiments of the present application, in a case that the observation date is the last observation date, and the target row right price is greater than 0, step 130 may specifically include:
and selecting a Black option pricing model as a target estimation model based on the corresponding relation.
The Black option pricing model may specifically be the Black 1976 model.
In one example, for the case (3) above, the correspondence between the option valuation date and the option characteristic date is t<T n Another seed scenario with m = n-1 and K * >In case of 0, the call option valuation and the call option valuation can be obtained by referring to the following ways:
if only the last observation is left, and
the option value is directly obtained through a Black option pricing model without a moment matching method:
the evaluation formula for the call option is expressed as follows:
the evaluation formula for the call option is expressed as follows:
wherein the content of the first and second substances,
the meaning of each parameter for the above case (3) is as follows:
S t indicating an on-demand rate for an estimated day; f represents the forward exchange rate of the due date; s i The ith fixed disc exchange rate is shown, i is from 1 to m; f i Represents the ith forward order rate, i is from m +1 to n; SA t Represents the arithmetic mean of the days up to the estimate; k represents a row right price; r d Representing the domestic risk-free interest rate of the delivery day; r is f Representing the no risk interest rate of the delivery day abroad; b represents the holding cost of the foreign exchange; sigma i The implicit fluctuation rate of the ith fixed disk day is represented; t represents an estimated date; t is a unit of exp Indicating an option due date; t is del Representing option delivery day; t is i Indicating the ith fixed disk day; n (.) represents the cumulative distribution function of a standard normal random variable; omega represents an indication parameter, the value of the option of putting up is +1, and the value of the option of putting down is-1; n represents the total observed number counted by the observation period information table; m represents the number of observations that have occurred.
In the embodiment of the application, when the observation date is the last observation date and the target right-of-way price is greater than 0, the Black option pricing model can be selected as the target valuation model based on the corresponding relation, so that the option can be better valued.
(4) The Asian foreign exchange option is of the type of arithmetic mean executive price option
The arithmetic mean executes the formal option in return, which can be expressed as follows:
call option return:
Max[S(T exp )-S ave (T n ),0]
return on call options:
Max[S ave (T n )-S(T exp ),0]
S(T exp ) Indicating the current day' S immediate exchange rate, S ave (T n ) Denotes the cut-off T n The arithmetic mean of the moment order rate. As can be readily seen from the reward formula, at the end of the observation period, the average execution price S ave (T n ) Has been determined, but the option may not yet expire, i.e., T n <T exp Therefore at T n Time, S (T) exp ) It may not be known that the return of options is still uncertain.
In this scenario, pricing needs to be approximated by using the price difference Option (Spread Option) proposed by Kirk (1995), and the emphasis here is approximation, mainly because it is implicitly assumed that the arithmetic mean value is also subject to geometric brownian motion. When m =0, i.e. has not entered the observation period, the degradation is to asset Exchange options (Exchange Option), the Kirk (1995) method also degrades to the Margrabe (1978) method.
(a) The corresponding relation between the option valuation date and the option characteristic date is T = T exp The case (2) is as follows:
if the option has expired, i.e., T = T exp The option estimation formula is as follows:
the evaluation of the call option is calculated as shown in equation (16):
the evaluation of the fall option is calculated as shown in equation (17):
wherein S is ave (T n ) Denotes the cut-off T n The arithmetic mean of the moment order rate.
(b) The corresponding relation between the option valuation date and the option characteristic date is T n ≤t<T exp The case (2) is as follows:
if the observation period has ended but the option has not expired, i.e., T n ≤t<T exp Then, since the row option price has been determined, the Asian option becomes a standard European option, rowThe weight being the arithmetic mean S ave (T n ) At this point, the Black option pricing model can be used directly to estimate:
the evaluation of the call option is calculated as shown in equation (18):
the estimate of the fall option is calculated as shown in equation (19):
wherein the content of the first and second substances,
K＝S ave (T n )。
in the formula, F represents F (T, T) exp ) I.e., the forward exchange rate of the due date the station looked at on the evaluation date.
(c) The corresponding relation between the option valuation date and the option characteristic date is t<T n The case (2) is as follows:
the arithmetic mean execution price sub-formula option due profit can be expressed as:
wherein the content of the first and second substances,
in this scenario, cox and Ross (1976) risk neutral transformation equations can be applied, and the value of the arithmetic mean execution price look-up option can be expressed as the following equation (20):
wherein the content of the first and second substances,
three desirable expressions are as follows:
the method is characterized in that: if n =1, it means that there are only 1 fixed disk values.
(i) When m =0, i.e. not entering the observation period:
E * [M(t)]＝F 1
(ii) When m =1, the disc has been finalized.
For a fall option, the valuation equation can be expressed as the following equation (21):
the meaning of each parameter for the above case (4) is as follows:
S t indicating an on-demand rate for an estimated day; f represents the forward exchange rate of the due date; s i The ith fixed disk exchange rate is represented, and i is from 1 to m; f i Represents the ith forward disc exchange rate, i is from m +1 to n; SA t Represents the arithmetic mean of the days up to the estimate; k represents the row right price, only the expected row right price can be obtained on the valuation day,
thereby obtaining an interpolated volatility; r is d Representing the domestic risk-free interest rate of the delivery day; r f Representing the no risk interest rate abroad on delivery days; sigma i The implicit fluctuation rate of the ith fixed disk day is represented; t represents an estimated date; t is a unit of exp Indicating an option due date; t is del Representing option delivery day; t is a unit of i Indicating the ith fixed disk day; n (.) represents the cumulative distribution function of a standard normal random variable; n represents the total observed number counted by the observation period information table; m-represents the number of observations that have occurred.
The four models provided by the technical scheme of the application are obtained by independent derivation, can be well matched with the domestic Asian option valuation, and have high application value. The technical scheme of the application supports variable observation time intervals and the fact that the due date is after the last observation date, and the fluctuation rate time limit structure is taken into account, so that the method and the device have strong flexibility and universality.
It should be noted that, the option estimation method provided in the embodiments of the present application may be executed by an option estimation apparatus, or a control module in the option estimation apparatus for executing the option estimation method.
Based on the same inventive concept as the option estimation method, the application also provides an option estimation device. The option estimation apparatus provided in the embodiment of the present application is described in detail below with reference to fig. 3.
Fig. 3 is a schematic diagram illustrating a structure of an option estimation apparatus according to an exemplary embodiment.
As shown in fig. 3, the option estimation apparatus 300 may include:
a first obtaining module 310, configured to obtain an option valuation date of the Asian fx option;
a first determining module 320, configured to determine a correspondence between the option valuation date and the option characteristic date; wherein the option characteristic day includes at least: a first fixed-disc day, a last fixed-disc day, an option due date and a delivery date;
a selecting module 330, configured to select, based on the correspondence, a target valuation model corresponding to the correspondence from a plurality of preset valuation models;
a second determining module 340, configured to obtain an estimate of the asian foreign exchange option based on the target estimation model.
In the embodiment of the application, the corresponding relation between the option valuation date and the option characteristic date is determined by obtaining the option valuation date of the Asian foreign exchange option, based on the corresponding relation, a target valuation model corresponding to the corresponding relation can be selected from a plurality of preset valuation models, and then based on the target valuation model, the valuation of the Asian foreign exchange option can be directly obtained.
In some embodiments of the present application, the estimate of the asian foreigner option comprises a call-out option estimate of the asian foreigner option; to further achieve the flexibility and versatility of the claim-in-mid valuation model of the present application, the selecting module 330 may be specifically configured to:
selecting a target call option valuation model corresponding to the corresponding relation from a plurality of preset valuation models based on the corresponding relation;
the second determining module 340 may specifically be configured to:
and obtaining the option valuation of the Asian type foreign exchange option based on the target option valuation model.
In some embodiments of the present application, the estimate of the asian foreigner option comprises a drop option estimate of the asian foreigner option; to further achieve the flexibility and versatility of the claim-in-mid valuation model of the present application, the selecting module 330 may be specifically configured to:
selecting a target fall option valuation model corresponding to the corresponding relation from a plurality of preset valuation models based on the corresponding relation;
the second determining module 340 may specifically be configured to:
and obtaining the setback option estimation value of the Asian foreign exchange option based on the target setback option estimation model.
In some embodiments of the present application, to further achieve the flexibility and versatility of the claim-in-mid evaluation model of the present application, the selecting module 330 may be specifically configured to:
selecting a target valuation model corresponding to the corresponding relation and the type of the Asian foreign exchange option from a plurality of preset valuation models based on the corresponding relation and the type of the Asian foreign exchange option;
wherein the type of the Asian foreign exchange option comprises: geometric mean price options, arithmetic mean price options, geometric mean execution price options, and arithmetic mean execution price options.
In some embodiments of the present application, the parameters of the target estimation model include a row right price; to further achieve the flexibility and versatility of the option valuation model in the present application, in a case where the asian foreign exchange option is the arithmetic mean price option and the option valuation date is after the last fixed date, the option valuation apparatus as described above may further include:
the third determining module is used for responding to the adjustment operation of the row right price to obtain a target row right price; wherein the target row weight is less than or equal to 0;
a fourth determining module, configured to update the target valuation model based on the target row right price, so as to obtain an updated target valuation model;
the second determining module 340 may specifically be configured to:
and obtaining the estimation of the Asian foreign exchange option based on the updated target estimation model.
In some embodiments of the present application, in order to further achieve flexibility and versatility of the evaluation model of mid-term rights in the present application, in a case that the observation date is the last observation date and the target row right price is greater than 0, the selecting module 330 may be specifically configured to:
and selecting a Black option pricing model as a target estimation model based on the corresponding relation.
The option estimation apparatus provided in the embodiment of the present application may be configured to execute the option estimation method provided in each of the above method embodiments, and the implementation principle and the technical effect are similar, and for the sake of brevity, no further description is given here.
Based on the same inventive concept, the embodiment of the application also provides the electronic equipment.
Fig. 4 is a schematic structural diagram of an electronic device according to an embodiment of the present application. As shown in fig. 4, the electronic device may include a processor 401 and a memory 402 storing computer programs or instructions.
Specifically, the processor 401 may include a Central Processing Unit (CPU), or an Application Specific Integrated Circuit (ASIC), or may be configured as one or more Integrated circuits implementing embodiments of the present invention.
The memory 402 may include data for or mass storage of instructions. By way of example, and not limitation, memory 402 may include a Hard Disk Drive (HDD), floppy Disk Drive, flash memory, optical Disk, magneto-optical Disk, magnetic tape, or Universal Serial Bus (USB) Drive or a combination of two or more of these. Memory 402 may include removable or non-removable (or fixed) media, where appropriate. The memory 402 may be internal or external to the integrated gateway disaster recovery device, where appropriate. In a particular embodiment, the memory 402 is non-volatile solid-state memory. The Memory may include Read Only Memory (ROM), random Access Memory (RAM), magnetic disk storage media devices, optical storage media devices, flash Memory devices, electrical, optical, or other physical/tangible Memory storage devices. Thus, in general, the memory includes one or more tangible (non-transitory) computer-readable storage media (e.g., a memory device) encoded with software comprising computer-executable instructions and when the software is executed (e.g., by one or more processors), it is operable to perform the operations described in the option estimation methods provided by the embodiments described above.
In one example, the electronic device may also include a communication interface 403 and a bus 410. As shown in fig. 4, the processor 401, the memory 402, and the communication interface 403 are connected via a bus 410 to complete communication therebetween.
The communication interface 403 is mainly used for implementing communication between modules, devices, units and/or devices in the embodiment of the present invention.
The electronic device may execute the option valuation method in the embodiment of the present invention, thereby implementing the option valuation method described in fig. 1.
In addition, in combination with the option estimation method in the above embodiments, the embodiments of the present invention may be implemented by providing a readable storage medium. The readable storage medium having stored thereon program instructions; the program instructions, when executed by a processor, implement any of the option estimation methods of the above embodiments.
In addition, in conjunction with the option estimation method in the above embodiments, the embodiments of the present invention can be implemented by providing a computer program product. The instructions in the computer program product, when executed by a processor of an electronic device, cause the electronic device to perform any of the option estimation methods of the above embodiments.
It is to be understood that the invention is not limited to the specific arrangements and instrumentality described above and shown in the drawings. A detailed description of known methods is omitted herein for the sake of brevity. In the above embodiments, several specific steps are described and shown as examples. However, the method processes of the present invention are not limited to the specific steps described and illustrated, and those skilled in the art can make various changes, modifications and additions or change the order between the steps after comprehending the spirit of the present invention.
The functional blocks shown in the above-described structural block diagrams may be implemented as hardware, software, firmware, or a combination thereof. When implemented in hardware, it may be, for example, an electronic circuit, an Application Specific Integrated Circuit (ASIC), suitable firmware, plug-in, function card, or the like. When implemented in software, the elements of the invention are the programs or code segments used to perform the required tasks. The program or code segments can be stored in a machine-readable medium or transmitted by a data signal carried in a carrier wave over a transmission medium or a communication link. A "machine-readable medium" may include any medium that can store or transfer information. Examples of a machine-readable medium include electronic circuits, semiconductor memory devices, ROM, flash memory, erasable ROM (EROM), floppy disks, CD-ROMs, optical disks, hard disks, fiber optic media, radio Frequency (RF) links, and so forth. The code segments may be downloaded via computer networks such as the internet, intranet, etc.
It should also be noted that the exemplary embodiments mentioned in this patent describe some methods or systems based on a series of steps or devices. However, the present invention is not limited to the order of the above steps, that is, the steps may be performed in the order mentioned in the embodiments, may be performed in an order different from the order in the embodiments, or may be performed at the same time.
Aspects of the present application are described above with reference to flowchart illustrations and/or block diagrams of methods, apparatus (systems) and computer program products according to embodiments of the application. It will be understood that each block of the flowchart illustrations and/or block diagrams, and combinations of blocks in the flowchart illustrations and/or block diagrams, can be implemented by computer program instructions. These computer program instructions may be provided to a processor of a general purpose computer, special purpose computer, or other programmable data processing apparatus to produce a machine, such that the instructions, which execute via the processor of the computer or other programmable data processing apparatus, enable the implementation of the functions/acts specified in the flowchart and/or block diagram block or blocks. Such a processor may be, but is not limited to, a general purpose processor, a special purpose processor, an application specific processor, or a field programmable logic circuit. It will also be understood that each block of the block diagrams and/or flowchart illustration, and combinations of blocks in the block diagrams and/or flowchart illustration, can be implemented by special purpose hardware for performing the specified functions or acts, or combinations of special purpose hardware and computer instructions.
As described above, only the specific embodiments of the present invention are provided, and it can be clearly understood by those skilled in the art that, for convenience and simplicity of description, the specific working processes of the system, the module and the unit described above may refer to the corresponding processes in the foregoing method embodiments, and are not described herein again. It should be understood that the scope of the present invention is not limited thereto, and any person skilled in the art can easily conceive various equivalent modifications or substitutions within the technical scope of the present invention, and these modifications or substitutions should be covered within the scope of the present invention.
Claims (10)
1. A method for option estimation, the method comprising:
acquiring an option valuation date of the Asian foreign exchange option;
determining the corresponding relation between the option valuation date and the option characteristic date; wherein the option characteristic day includes at least: the first fixed-plan day, the last fixed-plan day, the option due date and the delivery date;
selecting a target estimation model corresponding to the corresponding relation from a plurality of preset estimation models based on the corresponding relation;
and obtaining the estimation of the Asian foreign exchange option based on the target estimation model.
2. The method of claim 1, wherein the Asian option valuation comprises an expecting option valuation for an Asian option;
selecting a target estimation model corresponding to the corresponding relation from a plurality of preset estimation models based on the corresponding relation, wherein the selecting comprises the following steps:
selecting a target call option valuation model corresponding to the corresponding relation from a plurality of preset valuation models based on the corresponding relation;
the obtaining the estimate of the Asian foreign exchange option based on the target estimate model comprises:
and obtaining the option valuation of the Asian type foreign exchange option based on the target option valuation model.
3. The method of claim 1, wherein the estimate of the asian foreigner option comprises a fall option estimate of the asian foreigner option;
selecting a target estimation model corresponding to the corresponding relation from a plurality of preset estimation models based on the corresponding relation, wherein the selecting comprises the following steps:
selecting a target fall option valuation model corresponding to the corresponding relation from a plurality of preset valuation models based on the corresponding relation;
the obtaining the estimate of the Asian fx option based on the target estimation model comprises:
and obtaining the setback option estimation value of the Asian foreign exchange option based on the target setback option estimation model.
4. The method according to claim 1, wherein said selecting a target estimation model corresponding to said correspondence from a plurality of preset estimation models based on said correspondence comprises:
selecting a target valuation model which corresponds to the corresponding relation and the type of the Asian foreign exchange option from a plurality of preset valuation models based on the corresponding relation and the type of the Asian foreign exchange option;
wherein the type of the Asian foreign exchange option comprises: geometric mean price options, arithmetic mean price options, geometric mean execution price options, and arithmetic mean execution price options.
5. The method of claim 4, wherein the parameters of the target estimation model include row weights;
in a case where the asian foreign exchange option is the arithmetic mean price option and the option valuation date is after the last fixed day, after the selecting, based on the correspondence, a target valuation model corresponding to the correspondence from a plurality of preset valuation models, the method further includes:
responding to the adjustment operation of the row right price to obtain a target row right price; wherein the target row weight is less than or equal to 0;
updating the target valuation model based on the target row weight price to obtain an updated target valuation model;
the obtaining the estimate of the Asian fx option based on the target estimation model comprises:
and obtaining the evaluation value of the Asian foreign exchange option based on the updated target evaluation model.
6. The method of claim 5, wherein if the observation date is the last observation date and the target row price is greater than 0,
selecting a target estimation model corresponding to the corresponding relation from a plurality of preset estimation models based on the corresponding relation, wherein the selecting comprises the following steps:
and selecting a Black option pricing model as a target estimation model based on the corresponding relation.
7. An option estimation apparatus, comprising:
the first acquisition module is used for acquiring the option valuation date of the Asian foreign exchange option;
a first determining module, configured to determine a correspondence between the option valuation date and the option characteristic date; wherein the option characteristic day includes at least: a first fixed-disc day, a last fixed-disc day, an option due date and a delivery date;
the selection module is used for selecting a target valuation model corresponding to the corresponding relation from a plurality of preset valuation models based on the corresponding relation;
and the second determination module is used for obtaining the estimation of the Asian foreign exchange option based on the target estimation model.
8. An electronic device comprising a processor, a memory, and a program or instructions stored on the memory and executable on the processor, the program or instructions when executed by the processor implementing the steps of the option estimation method according to any of claims 1-6.
9. A readable storage medium, characterized in that the readable storage medium stores thereon a program or instructions which, when executed by a processor, implement the steps of the option valuation method of any of claims 1-6.
10. A computer program product, wherein instructions in the computer program product, when executed by a processor of an electronic device, cause the electronic device to perform the steps of the option estimation method according to any of claims 1-6.
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| CN202211541816.6A CN115860940A (en) | 2022-12-02 | 2022-12-02 | Option estimation method, option estimation apparatus, electronic device, option estimation medium, and program product |
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| Application Number | Priority Date | Filing Date | Title |
|---|---|---|---|
| CN202211541816.6A CN115860940A (en) | 2022-12-02 | 2022-12-02 | Option estimation method, option estimation apparatus, electronic device, option estimation medium, and program product |
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| CN202211541816.6A Pending CN115860940A (en) | 2022-12-02 | 2022-12-02 | Option estimation method, option estimation apparatus, electronic device, option estimation medium, and program product |
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