The Delivery Option on Forward Contracts: A Note
指出一种常见错误观点：当多头能动态对冲交割风险时，交割选择权价值为零。通过分析扩散过程性质，说明该直觉在期权定价中的谬误。
A number of futures contracts conveys to the short position various delivery options re? garding the quality and exact timing of delivery. Moreover, the compensation to the long position is not solely determined by the market value of the delivered asset at the time of delivery. Sometimes, the long position can hedge this delivery risk by holding an appropriate portfolio of the underlying asset. It often has been stated that whenever the long position can form a dynamic hedge against the delivery risk, the delivery option has a zero value. This paper demonstrates the implication of such erroneous intuition to the pricing of options. It is shown that the root of the issue is the property of diffusion processes whereas, within a given time interval, a random variable either will never cross a given boundary or else, cross it an inflnite number of times.