广西民族大学学报：自然科学版
廣西民族大學學報：自然科學版
엄서민족대학학보：자연과학판
Journal of Guangxi University For Nationalities(Natural Science Edition)
2011年
4期
65-68,77
,共5页
分数次Black-Scholes模型%美式期权%二次近似%对称关系
分數次Black-Scholes模型%美式期權%二次近似%對稱關繫
분수차Black-Scholes모형%미식기권%이차근사%대칭관계
Fractional Black-Scholes model%American option%quadratic approximation%symmetricrelation
在分数次Black—Scholes模型下，以连续支付红利的美式看涨期权为例，用二次近似法推导美式期权定价的近似公式，得到了与经典Black-Scholes模型下相似的结果．最后证明美式看涨一看跌期权的对称关系在分数次Black-Scholes模型下也成立．
在分數次Black—Scholes模型下，以連續支付紅利的美式看漲期權為例，用二次近似法推導美式期權定價的近似公式，得到瞭與經典Black-Scholes模型下相似的結果．最後證明美式看漲一看跌期權的對稱關繫在分數次Black-Scholes模型下也成立．
재분수차Black—Scholes모형하，이련속지부홍리적미식간창기권위례，용이차근사법추도미식기권정개적근사공식，득도료여경전Black-Scholes모형하상사적결과．최후증명미식간창일간질기권적대칭관계재분수차Black-Scholes모형하야성립．
Based on the assumption of the fractional Black-Scholes model, a quadratic approximation under the Black-Scholes model is applied to pricing the American call option with continuous-paying divi- dend, a similar approximate formula is derived, and the call-put symmetric relation is proved.
