| 派发股息美式期权的一个解析公式 |
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| 引用本文： | 杨秀妮,冯卫兵.派发股息美式期权的一个解析公式[J].西安石油大学学报(自然科学版),2011,26(1):103-105,122. |
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| 作者姓名： | 杨秀妮 冯卫兵 |
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| 作者单位： | 西安科技大学,理学院,陕西,西安,710054 |
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| 基金项目： | 陕西省科技计划资助项目(编号:2009KRM99) |
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| 摘 要： | 一般的美式期权难以用解析公式求解,而带有分红股息的资产却是一个例外.如果当前市场收益优于股息派发日的收益,美式期权可以在期权到期之前提前执行.应用扩展的Roll-Geske-Whaley模型并利用n重复合期权,在资产派发n次股息n>2时,得到了一个派发股息的美式买权解析公式,并进行了数值仿真.
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| 关 键 词： | 美式期权 股息 复合期权 |
Analytic formula of American option with paying dividends |
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| YANG Xiu-ni,FENG Wei-bing.Analytic formula of American option with paying dividends[J].Journal of Xian Shiyou University,2011,26(1):103-105,122. |
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| Authors: | YANG Xiu-ni FENG Wei-bing |
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| Institution: | YANG Xiu-ni,FENG Wei-bing (College of Sciences,Xi'an University of Science & Technology,Xi'an 710054,Shaanxi,China) |
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| Abstract: | In general,American options cannot be solved by closed-form formulas.However,the asset with paying dividend is an exception.American call option will be implemented before the expire date of the option only when the current market return is better than the return of paying dividend on paying dividend date.An analytic formula of American call option is derived using extended Roll-Geske-Whaley model and the theory of the n-fold compound options when the asset has pay divided n times (n>2).Finally a numerical ... |
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| Keywords: | American option dividend compound option |
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