摘要
建立了标的资产具有连续分红和交易成本的美式看跌期权的定价模型,通过无套利定价原理把该定价模型转化为带边界的变系数偏随机微分方程.采用隐式差分法对该随机随机微分方程离散化,并通过MATLAB编写出相应的求解算法,计算出在不同时间和不同股票价格所对应的美式看跌期权的最优执行价格.
The main objective of this paper is to propose an American option pricing model of the underlying asset has continuous divided and transaction cost. The model is to become stochastic differential equation with variable coefficient and free boundary by arbitrage pricing. Backward different approximation method is used to solve the stochastic differential equation and the results of American put option in different time and stock price are obtained.
出处
《兰州大学学报（自然科学版）》
CAS
CSCD
北大核心
2009年第F06期104-106,115,共4页
Journal of Lanzhou University(Natural Sciences)
基金
红河学院硕士基金项目(XSS07001)
关键词
美式看跌期权
偏随机微分方程
隐式差分法
数值解
American put option
partial stochastic different equation
backward different approximation method
numerical value method
