When Does Extra Risk Strictly Increase an Option's Value?
用两种新的风险定义，证明了当标的资产变得“逐点风险更高”时期权价值严格上升，且仅当标的资产变得“极值风险更高”时才会如此。
It is well known that risk increases the value of options. This article makes that precise in a new way. The conventional theorem says that the value of an option does not fall if the underlying asset becomes riskier in the conventional sense of the mean-preserving spread. This article uses two new definitions of 'riskier' to show that the value of an option strictly increases (i) if the underlying asset becomes 'pointwise riskier, ' and (ii) only if the underlying asset becomes 'extremum riskier.' , Oxford University Press.