摘要
基于期权定价的基本理论,研究美式看涨期权与欧式看涨期权之间的关系;在Black-Sc holes公式假设条件下,利用鞅和停时理论,得美式看涨期权的价格与欧式看涨期权的价格相等;探讨美式看跌期权价格的数字化计算,在相关假设条件下,利用基于最优化时的变分不等式证明了美式看跌期权价格的有界性,并介绍了几种美式看跌期权价格的数字化计算方法。
On the basis of the theory of option pricing,We study the connection between America call option and European call option;Under the assumption condition of Black-Scholes formula ,use the theory of martingales and stopping time,get the conclusion that: the price of America call option equals the price of European call option; Discuss some numeric computing methods of the put America option pricing, with the invarional inequaility for optimal stopping, prove the boundary property of America put option price and introduce some numeric computing methods of the put America option price.
出处
《重庆大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2004年第7期102-104,共3页
Journal of Chongqing University
基金
重庆邮电学院青年教师基金(A2003-07)资助项目
关键词
美式看涨期权
美式看跌期权
数字化计算
america call option
america put option
numerically compute method
the optimal stopping time
