| 随机市场模型下支付固定比例红利和考虑交易费用的美式看涨期权定价 |
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| 引用本文： | 孙新蕾.随机市场模型下支付固定比例红利和考虑交易费用的美式看涨期权定价[J].荆门职业技术学院学报,2011,26(2):52-55. |
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| 作者姓名： | 孙新蕾 |
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| 作者单位： | 哈尔滨工程大学理学院,黑龙江,哈尔滨,150001 |
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| 摘 要： | 文章研究随机市场模型下考虑交易费用和支付固定比例红利的美式看涨期权定价,详细讨论了支付固定比例红利时刻美式看涨期权提前执行满足的不等式条件,并应用二叉树图定价和蒙特卡罗方法数值求解期权价格。
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| 关 键 词： | 美式期权定价 数值解 蒙特卡罗方法 二叉树图定价方法 |
American Call Option Pricing Based on Paying Fixed Percentage Bonus and Transactions Costs under Stochastic Market Model |
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| SUN Xin-lei.American Call Option Pricing Based on Paying Fixed Percentage Bonus and Transactions Costs under Stochastic Market Model[J].Journal of Jingmen Vocational Technical College,2011,26(2):52-55. |
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| Authors: | SUN Xin-lei |
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| Institution: | SUN Xin-lei(College of Science,Harbin Engineering University,Harbin,Heilongjiang,150001,China) |
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| Abstract: | The paper studied the American option pricing under stochastic market model based on prefixed dividend rate and treatment fees,and discussed the inequality constraints in detail that the American call option was executed ahead of time at the time of paying a fixed percentage bonus.Then,the author solved the option price through using the methods of Ment Carol and Bi-tree Graph Pricing. |
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| Keywords: | American option pricing numerical solution Ment Carol method Bi-tree Graph Pricing method |
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