分数次Black-Scholes模型下美式期权定价的近似解析式OA北大核心CSTPCD
Approximation analytic formulas for pricing American option in the fractional Black-Scholes model
在分数次Black-Scholes模型下,应用二次近似法推导连续支付红利的美式期权定价的近似公式,并根据公式分析红利对美式期权提前实施的影响.
In this paper based on the assumption of the fractional Black-Scholes model, the classical quadratic approximation in the Black-Scholes model is applied to pricing A-merican options with continuous-paying dividends, similar approximate formulas are derived, and the influence of dividends on early exercise of American options is analyzed.
林汉燕;邓国和
桂林航天工业学院计算机系,广西桂林541004广西师范大学数学学院,广西桂林541004
数理科学
分数次Black-Scholes模型美式期权二次近似连续红利
fractional Black-Scholes model American option quadratic approximation continuous dividends
《华中师范大学学报（自然科学版）》 2012 (2)
145-148,4
广西自然科学基金项目(0991091)广西教育厅基金项目(201010LX587).
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