商业经济与管理
商業經濟與管理
상업경제여관리
Business Economics and Administration
2006年
10期
62~65
,共null页
期权定价 美式封项看涨期权 变分不等方程 有限差分
期權定價 美式封項看漲期權 變分不等方程 有限差分
기권정개 미식봉항간창기권 변분불등방정 유한차분
option pricing; American capped call option; Variational Inequality; finite difference scheme
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，而美式封项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。
期權及其定價理論是目前金融工程的前沿問題。美式看漲期權的齣售者具有無限製的義務，承擔著巨大的風險，而美式封項看漲期權可以使齣售者承擔有限責任，降低瞭風險。本文在假定無風險利率r不大于連續紅利q時，基于Black—Scholes模型推導齣有紅利的美式封頂看漲期權定價模型-變分不等方程模型，併且用有限差分格式給齣瞭模型的數值解法。
기권급기정개이론시목전금융공정적전연문제。미식간창기권적출수자구유무한제적의무，승담착거대적풍험，이미식봉항간창기권가이사출수자승담유한책임，강저료풍험。본문재가정무풍험리솔r불대우련속홍리q시，기우Black—Scholes모형추도출유홍리적미식봉정간창기권정개모형-변분불등방정모형，병차용유한차분격식급출료모형적수치해법。
Options and their pricing theory are the frontier＇s fields in today＇s financial engineenng 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 r≤q, 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.
