中文说明:这个代码与静态复制选项,德曼所撰写,Ergener和凯恩在1995年提出了用于复制或对冲的目标股票期权与其他选项的组合的方法的论文。它显示了如何构建的标准选项的复制组合具有不同的罢工和期限和固定投资组合的权重。一旦建成,这一投资组合将复制于各种股票价格和到期前时间的目标选项的值,而无需再重的调整。
English Description:
This code is related to the static options replication, a paper written by Derman, Ergener and Kani in 1995. It presents a method for replicating or hedging a target stock option with a portfolio of other options . It shows how to construct a replicating portfolio of standard options with varying strikes and maturities and fixed portfolio weights. Once constructed, this portfolio will replicate the value of the target option for a wide range of stock prices and times before expiration, without requiring further weight adjustments.