| 151 | 1 | 51 |
| 下载次数 | 被引频次 | 阅读次数 |
期权及其定价理论是目前金融工程的前沿问题。美式看涨期权的出售者具有无限制的义务,承担着巨大的风险,而美式封顶看涨期权可以使出售者承担有限责任,降低了风险。本文在假定无风险利率r不大于连续红利q时,基于Black-Scholes模型推导出有红利的美式封顶看涨期权定价模型-变分不等方程模型,并且用有限差分格式给出了模型的数值解法。
Abstract：Options and their pricing theory are the frontier's fields in today's financial engineering research.The American call option is inherently risky because of its unlimited liability.Nevertheless,the American capped call option can have a limited liability,which reduces the financial risk.In this paper,under the assumption of rq,we establish the pricing model of the American capped call option on the basis of Black-Scholes model and obtain the numerical computational method by using the finite difference scheme.
[1]Hull J.Options,Furtures and Other Derivatives[M].NewJersy:Prentice-Hall,Fourth Edition,2000.
[2]Wilmott P.Derivatives:The Theory and Practice of FinancialEngineering[M].New York:John Wiley&Sons,Inc.,1998.
[3]Jiang L,Dai M.Convergence analysis of binomial tree methodfor American-type path-dependent options[J].Math.Sci.&Appl.2000,(13):153-166.
[4]P J Hunt,J E Kennedy.Financial Derivatives in Theory andPractice[M].New York:John Wiley&Sons,2000.
[5]姜礼尚.期权定价的数学模型和方法[M]北京:高等教育出版社,2003.
基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2006.10.014
中图分类号:F830;F224
引用信息:
[1]丁正中,邢海宁.美式封顶看涨期权的变分不等方程模型[J].商业经济与管理,2006(10):62-65.DOI:10.14134/j.cnki.cn33-1336/f.2006.10.014.
2006-10-15
2006-10-15