| 关于美式期权定价方法的研究 |
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| 引用本文： | 郑小迎,陈金贤. 关于美式期权定价方法的研究[J]. 陕西理工学院学报(自然科学版), 1999, 0(3) |
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| 作者姓名： | 郑小迎 陈金贤 |
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| 作者单位： | 西安交通大学管理学院!陕西西安710049 |
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| 摘 要： | 美式期权的路径依赖特征导致了其定价的复杂性，并使得美式看涨、看跌期权之间的定价原理差异较大。本文在深入剖析美式期权特点及其价值形成机理的基础上，利用Ｂｌａｃｋ － Ｓｃｈｏｌｅｓ 定价模型，分别探讨了美式看涨、看跌期权的定价方法，并讨论了在其有效期内产生的现金流对美式期权价值的影响。
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| 关 键 词： | 美式期权 路径依赖 Black-Scholes定价模型 |
A study on the pricing of american option |
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| ZHENG Xiao-ying,CHEN Jin-xian. A study on the pricing of american option[J]. Journal of Shananxi University of Technology(Natural Science Edition), 1999, 0(3) |
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| Authors: | ZHENG Xiao-ying CHEN Jin-xian |
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| Abstract: | The path-dependent characteristic of American option results in it's pricing complexity and causes the pricing differences from American call option and put option.Based upon the analysis of American option's characteristics and valuing origin, this paper derives the pricing models of American call option and put option using Black-Scholes pricing model.Further more,the influences from the cash flow before American option's expiration are discussed at the end of the paper. |
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| Keywords: | American option path-dependence Black-Scholes pricing model |
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