分数次Black-Scholes模型下美式期权定价的近似解析式  

Approximation analytic formulas for pricing American option in the fractional Black-Scholes model

作　　者：林汉燕[1] 邓国和[2] 

机构地区：[1]桂林航天工业学院计算机系,广西桂林541004 [2]广西师范大学数学学院,广西桂林541004

出　　处：《华中师范大学学报（自然科学版）》2012年第2期145-148,共4页Journal of Central China Normal University：Natural Sciences

基　　金：广西自然科学基金项目(0991091);广西教育厅基金项目(201010LX587)

摘　　要：在分数次Black-Scholes模型下,应用二次近似法推导连续支付红利的美式期权定价的近似公式,并根据公式分析红利对美式期权提前实施的影响.In this paper based on the assumption of the fractional Black-Scholes model, the classical quadratic approximation in the Black-Scholes model is applied to pricing A- merican options with continuous-paying dividends, similar approximate formulas are derived, and the influence of dividends on early exercise of American options is analyzed.

关 键 词：分数次Black—Scholes模型 美式期权 二次近似 连续红利 

分 类 号：O241.82[理学—计算数学]