论文标题
ESG值的离散选项定价在完整市场
ESG-valued discrete option pricing in complete markets
论文作者
论文摘要
我们考虑使用具有两个折叠目的的复制二项式树的选项定价。首先是将ESG估值引入期权定价。我们在许多情况下探讨了这一点，包括由于交易者信息而增加的收益率以及市场驱动因素的过去历史的影响。第二个是强调使用离散的动态定价而不是连续模型作为控制实际市场实践的自然模型。我们进一步强调，离散期权定价模型必须使用离散的复合（例如$ 1+r_fΔt$的无风险利率复合），而不是连续的复合（例如$ e^{r_fΔt}）$。
We consider option pricing using replicating binomial trees, with a two fold purpose. The first is to introduce ESG valuation into option pricing. We explore this in a number of scenarios, including enhancement of yield due to trader information and the impact of the past history of a market driver. The second is to emphasize the use of discrete dynamic pricing, rather than continuum models, as the natural model that governs actual market practice. We further emphasize that discrete option pricing models must use discrete compounding (such as risk-free rate compounding of $1+r_f Δt$) rather than continuous compounding (such as $e^{r_f Δt})$.
