广西科学2011，Vol.18Issue(3)：211-213,3.
分数次Black-Scholes模型下美式期权定价的一种二次近似方法
A Quadratic Approximation Method for American Option Pricing under the Fractional Black-Scholes Model
摘要
Abstract
With the fractional Black-Scholes model,the approximated price formula for an A-merican 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.关键词
美式期权定价/二次近似/分数次Black-Scholes模型Key words
American option pricing,quadratic approximation,fractional Black-Scholes model分类
数理科学引用本文复制引用
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):211-213,3.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. （桂科自0991091）
