随机市场模型下支付固定比例红利和考虑交易费用的美式看涨期权定价  

American Call Option Pricing Based on Paying Fixed Percentage Bonus and Transactions Costs under Stochastic Market Model

作　　者：孙新蕾[1] 

机构地区：[1]哈尔滨工程大学理学院,黑龙江哈尔滨150001

出　　处：《荆楚理工学院学报》2011年第2期52-55,共4页Journal of Jingchu University of Technology

摘　　要：文章研究随机市场模型下考虑交易费用和支付固定比例红利的美式看涨期权定价,详细讨论了支付固定比例红利时刻美式看涨期权提前执行满足的不等式条件,并应用二叉树图定价和蒙特卡罗方法数值求解期权价格。The paper studied the American option pricing under stochastic market model based on prefixed dividend rate and treatment fees,and discussed the inequality constraints in detail that the American call option was executed ahead of time at the time of paying a fixed percentage bonus.Then,the author solved the option price through using the methods of Ment Carol and Bi-tree Graph Pricing.

关 键 词：美式期权定价 数值解 蒙特卡罗方法 二叉树图定价方法 

分 类 号：F224[经济管理—国民经济] F830.9