Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments
提出了连续流上有限期限利润上限和下限的解析公式，无需减去风险中性期望；通过无套利关系可轻松得到价格上限、下限和领口；还给出了价格下限和领口下投资项目最优触发条件的两种新方法。
ABSTRACT We offer analytic formulae for valuing finite maturity profit caps and floors that are contingent on continuous flows without the need for subtracting the risk‐neutral expectation of the forward starting perpetual solution from the corresponding perpetual solution. The related price caps, floors, and collars are easily obtained from any analytic representation of profit caps and floors using some arbitrage‐free relations. Finally, we offer two novel methods for calculating the optimal triggers of investment projects in the presence of price floors and collars regimes in a way that is much simpler than the ones currently used.