Dr. Samuel Drapeau 学术报告：Computational Aspects of Robust Optimized Certainty Equivalent and Option Pr
报告题目：Option Prices of Pegged Exchange Rates: theHKD-USD Puzzle
报 告 人：Dr. SamuelDrapeau（上海交通大学 特别研究员）
Foreign exchangemarkets are by far the largest markets in the world in terms of volume.Optionpricing there relies on the principle that the underlying -- the exchange rate-- is a free floating one for which the classical Black and Scholes andderivates thereof are used.It is an interesting fact that many foreign exchangemarkets are eventually pegged -- Bulgaria, China, Hong-Kong, Switzerland,Thailand -- at least for a long periods of time.
Surprisingly, eventhough the underlying is fixed, there is an active option market taking placeon those currencies.
We document thispuzzling fact and propose a simple model to explain it.Taking as classicalexample the Hong-Kong/US dollars pegged exchange, we calibrate this model over 10years of option data and provide some insights on what could be the motivationof agents on this markets to trade such options.
This is a joint work with Tan Wang and Tao Wangfrom Shanghai Advanced Institute of Finance.