支付连续红利的欧式和美式期权定价问题的研究  

STUDY ON THE PRICING OF BOTH EUROPEAN AND AMERICAN OPTIONS WITH CONTINUOUS DIVIDEND

作　　者：吴金美[1] 金治明[1] 刘旭[1] 

机构地区：[1]国防科学技术大学理学院数学系,湖南长沙410073

出　　处：《经济数学》2007年第2期147-152,共6页Journal of Quantitative Economics

摘　　要：本文从投资策略的角度出发,针对支付连续红利欧式和美式期权,通过构造等价鞅测度,进而构造出最小保值策略即复制策略,由此得到相应的期权的一般定价公式,并在此基础上运用概率求期望和方程代换这两种方法推导出带红利标准欧式看涨期权的定价B-S公式.This paper gives the general pricing formulas of European option and American option with continuous dividend. It comes from constructing the replicating strategy which is formed by designing equivalent martingale measure. Then it uses the method of accounting the probability expectation and equation exchanging to deduce the B - S formula of standard European call option with continuous dividend.

关 键 词：欧式期权 美式期权 连续红利 等价鞅测度 最小保值策略 

分 类 号：O211.63[理学—概率论与数理统计]