| 有交易费用和红利的美式期权的紧差分逼近 |
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| 引用本文： | 李建辉,贺兴时,杨睿通.有交易费用和红利的美式期权的紧差分逼近[J].西安工程科技学院学报,2012(5):667-671. |
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| 作者姓名： | 李建辉 贺兴时 杨睿通 |
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| 作者单位： | 西安工程大学理学院,陕西西安710048 |
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| 基金项目： | 陕西省教育厅专项基金项目（2011JK0188,2012JK0744） |
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| 摘 要： | 基于Black—Scholes期权定价方程，建立带有交易费用和支付红利的美式期权定价模型，并采用紧差分方法给出了该模型的求解算法．进一步通过具体实例，利用Matlab分别计算出期权处于多头、空头及无交易费用时的价格，最后将计算结果做了比较．
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| 关 键 词： | 美式期权 交易费用 紧差分逼近 |
Compact finite difference approximation of American option with transaction costs and dividend payments |
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| LI Jian-hui,HE Xing-shi,YANG Rui-tong.Compact finite difference approximation of American option with transaction costs and dividend payments[J].Journal of Xi an University of Engineering Science and Technology,2012(5):667-671. |
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| Authors: | LI Jian-hui HE Xing-shi YANG Rui-tong |
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| Institution: | (School of Science, Xian Polytechnic University, Xi＇an 710048, China) |
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| Abstract: | Based on the Black-Scholes option pricing equation,American option pricing model which in- cludes transaction costs and dividend payments wer established. The compact finite difference method was used to give the algorithm for solving the model. In addition, the numerical examples were given. Using Mat｜ab,option prices with long position, bear position, and no transaction costs were calculated, respectively. At last the calculated results were comnnred |
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| Keywords: | American option~ transaction costsl compact finite difference approximation |
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