美式期权价格的积分表示及其数值方法(英文)  

The Integral Representation of the Price of American Options and Numerical Methods

作　　者：刘亚平[1] 吕涛[1] 

机构地区：[1]四川大学数学学院,四川成都610064

出　　处：《工程数学学报》2004年第F12期17-21,共5页Chinese Journal of Engineering Mathematics

基　　金：This work is supported by Ph.D.foundation of the Ministor of Education,China

摘　　要：本文利用Lalplace变换方法得到带连续红利的美式石看涨期权价格的积分表示,以及最优执行边界满足的一个非线性的第二类Volterra积分方程。然后用数值积分公式给出了积分方程的数值觯,从而得到了带连续红利的美式看涨期权价格及其执行边界的数值解。<正>In this paper, we apply Laplace transform to obtain an integral representation for the solution for American call options with continuous dividend, and get a nonlinear Volterra integral equation of the second kind for the optimal exercise boundary. Then we give the numerical solution to the integral equation using the quadrature formulae, and so get the numerical solution of the price of American call option with continuous dividend and the optimal exercise boundary.In this paper, we apply Laplace transform to obtain an integral representation for the solution for American call options with continuous dividend, and get a nonlinear Volterra integral equation of the second kind for the optimal exercise boundary. Then we give the numerical solution to the integral equation using the quadrature formulae, and so get the numerical solution of the price of American call option with continuous dividend and the optimal exercise boundary.

关 键 词：积分表示 连续 VOLTERRA积分方程 数值解 数值方法 数值积分 LAPLACE变换 红利 美式看涨期权 价格 

分 类 号：O174[理学—数学] F830.9[理学—基础数学]