| 随机市场模型下美式看跌期权的定价 |
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| 引用本文： | 易艳春,吴雄韬.随机市场模型下美式看跌期权的定价[J].衡阳师范学院学报,2009,30(3):7-10. |
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| 作者姓名： | 易艳春 吴雄韬 |
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| 作者单位： | 衡阳师范学院,数学与计算科学系,湖南,衡阳,421008 |
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| 基金项目： | 湖南省教育厅资助项目 |
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| 摘 要： | 文章讨论银行利率、期望收益率、分红率以及渡动率都是随机变量时美式看跌期权的定价问题,利用Fourier变换得出美式看跌期权的价格表达式,并给出有交易成本的美式看跌期权的定价公式.
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| 关 键 词： | 美式看跌期权 交易成本 期权定价 |
American Put Option with Stochastic Financial Market Model |
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| YI Yan-chun,WU Xiong-tao.American Put Option with Stochastic Financial Market Model[J].journal of Hengyang Normal University,2009,30(3):7-10. |
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| Authors: | YI Yan-chun WU Xiong-tao |
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| Institution: | Department of Mathematics and Computional Science;Hengyang Normal University;Hengyang Hunan 421008;China |
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| Abstract: | This paper focuses on the pricing of American put option contributing to bank interest rate,return rate,dividend yield and volatility under stochastic variable.Using Fouriser,the formular of value in American put option is obtained.It gives the formula of American put option pricing with transaction costs. |
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| Keywords: | American put option transaction costs option pricing |
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