A closed‐form pricing solution for options on assets with pricing errors
研究了标的资产定价误差对期权价格及其希腊值的影响，发现定价误差会提高期权价格、增加对冲波动性，并改变隐含风险中性密度，对风险管理和对冲有重要影响。
Abstract This article examines the effects that pricing errors in the underlying asset have on options prices and their Greeks. Pricing errors can be viewed as random proportional transaction costs. When pricing errors are information‐unrelated, options prices are unambiguously higher than the Black‐Scholes case and increasing in the pricing error variance. Hedging volatility is higher and the optimal exercise price for American put options is decreased. The option implied risk‐neutral density and option Greeks are materially affected, which leads to suboptimal risk management and hedging when pricing errors are not accounted for. Simulation and data evidence validate the theoretical results.