广西民族大学学报：自然科学版2011，Vol.17Issue(4)：65-68,77,5.
分数次Black-Scholes模型下美式期权定价的近似公式
An Approximation Formula for Pricing American Option under the Fractional Black-Scholes Model
摘要
Abstract
Based on the assumption of the fractional Black-Scholes model, a quadratic approximation under the Black-Scholes model is applied to pricing the American call option with continuous-paying divi- dend, a similar approximate formula is derived, and the call-put symmetric relation is proved.关键词
分数次Black-Scholes模型/美式期权/二次近似/对称关系Key words
Fractional Black-Scholes model/American option/quadratic approximation/symmetricrelation分类
管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近似公式[J].广西民族大学学报：自然科学版,2011,17(4):65-68,77,5.基金项目
广西自然科学基金(桂科自0991091) （桂科自0991091）
广西教育厅立项项目(201010LX587). （201010LX587）
