分数次Black-Scholes模型下美式期权定价的近似公式  

An Approximation Formula for Pricing American Option under the Fractional Black-Scholes Model

作　　者：林汉燕[1] 邓国和[2] 

机构地区：[1]桂林航天工业高等专科学校计算机系,广西桂林541004 [2]广西师范大学数学学院,广西桂林541004

出　　处：《广西民族大学学报（自然科学版）》2011年第4期65-68,77,共5页Journal of Guangxi Minzu University ：Natural Science Edition

基　　金：广西自然科学基金(桂科自0991091);广西教育厅立项项目(201010LX587)

摘　　要：在分数次Black-Scholes模型下,以连续支付红利的美式看涨期权为例,用二次近似法推导美式期权定价的近似公式,得到了与经典Black-Scholes模型下相似的结果.最后证明美式看涨—看跌期权的对称关系在分数次Black-Scholes模型下也成立.Based on the assumption of the fractional Black-Scholes model, a quadratic approximation under the Black-Scholes model is applied to pricing the American call option with continuous-paying divi- dend, a similar approximate formula is derived, and the call-put symmetric relation is proved.

关 键 词：分数次Black-Scholes模型 美式期权 二次近似 对称关系 

分 类 号：F830.9[经济管理—金融学]