摘要
文章讨论银行利率、期望收益率、分红率以及波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。
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.
出处
《衡阳师范学院学报》
2009年第3期7-10,共4页
Journal of Hengyang Normal University
基金
湖南省教育厅资助项目(08C175)
关键词
美式看跌期权
交易成本
期权定价
American put option
transaction costs
option pricing
