一种基于支付红利股票的美式期权定价方法

重庆交通大学学报（自然科学版） ›› 2005, Vol. 24 ›› Issue (2): 148-150.

一种基于支付红利股票的美式期权定价方法

李莉英¹，张赕²

1．重庆交通学院基础科学部，重庆400074；2．重庆交通学院管理学院，重庆400074

收稿日期:2004-03-29 修回日期:2004-04-29 出版日期:2005-04-15 发布日期:2015-05-18
作者简介:李莉英(1975一)，女，四川省自贡市人，助教，研究生，从事数值方法与金融工程研究．

A pricing method for American options on stocks with dividends

Li Li—ying¹， ZHANG yi²

1.Department of Basic Course, Chongqing Jiaotong University, Chongqing 400074, China; 2.School of Management, Chongqing Jiaotong University, Chongqing 400074, China

Received:2004-03-29 Revised:2004-04-29 Online:2005-04-15 Published:2015-05-18

摘要/Abstract

摘要： 通过把股票价格看成由无风险部分和有风险部分组成，利用有限差分法对基于支付红利股票的美式期权定价进行了研究，同时考虑了交易费用．最后，通过数值算例验证了方法的有效性和准确性．

关键词: 红利, 交易费用, 美式期权, 有限差分法

Abstract: Under the assumption that stocks price consists of the risky part and the risk-less part, this paper studies the pricing of American options on stocks with known dividends and transaction costs, by using the finite difference method. At last, a numerical example shows that this method is efficient and accurate

Key words: dividends, transaction cost, American options, finite difference method

中图分类号:

李莉英，张赕. 一种基于支付红利股票的美式期权定价方法[J]. 重庆交通大学学报（自然科学版）, 2005, 24(2): 148-150.

Li Li—ying， ZHANG yi. A pricing method for American options on stocks with dividends[J]. Journal of Chongqing Jiaotong University(Natural Science), 2005, 24(2): 148-150.