| 分数次Black-Scholes模型下美式期权定价的一种二次近似方法 |
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| 引用本文： | 林汉燕,邓国和. 分数次Black-Scholes模型下美式期权定价的一种二次近似方法[J]. 广西科学, 2011, 18(3): 211-213 |
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| 作者姓名： | 林汉燕 邓国和 |
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| 作者单位： | 1. 桂林航天工业高等专科学校计算机系,广西桂林,541004
2. 广西师范大学数学学院,广西桂林,541004 |
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| 基金项目： | 广西自然科学基金项目(桂科自0991091); 广西教育厅立项项目(201010LX587)资助 |
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| 摘 要： | 在分数次Black-Scholes模型下,用二次近似定价法推导出支付红利的美式看跌期权价格的近似解析式,然后进行数值计算,并与用显式差分法计算的结果作对比.二次近似定价法可行,但是还有待改进.
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| 关 键 词： | 美式期权定价 二次近似 分数次Black-Scholes模型 |
| 收稿时间： | 2010-12-27 |
A Quadratic Approximation Method for American Option Pricing under the Fractional Black-Scholes Model |
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| LIN Han-yan and DENG Guo-he. A Quadratic Approximation Method for American Option Pricing under the Fractional Black-Scholes Model[J]. Guangxi Sciences, 2011, 18(3): 211-213 |
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| Authors: | LIN Han-yan and DENG Guo-he |
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| Affiliation: | LIN Han-yan1,DENG Guo-he2(1.Department of Computer Science,Guilin College of Aerospace Technology,Guilin,Guangxi,541004,China,2.School of Mathematics,Guangxi Normal University,China) |
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| Abstract: | With the fractional Black-Scholes model,the approximated price formula for an American put option are derived by the quadratic approximation,and then their numerical solutions compared with that of the finite difference method.The results show that the quadratic approximation is feasible but needed to be improved. |
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| Keywords: | American option pricing quadratic approximation fractional Black-Scholes model |
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