美式看跌期权的两点Geske-Johnson近似定价法

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英文篇名：The Two-point Geske-Johnson Approximation of American put Option Pricing 作者：林汉燕 英文作者：LIN Han-yan;Department of Science, Guilin University of Aerospace Technology; 关键词：分数Black-Scholes模型 ; 美式看跌期权 ; 两点Geske-Johnson定价法 英文关键词：fractional Black-Scholes model;;American put option;;two-point Geske-Johnson approximation 中文刊名：SSJS 英文刊名：Mathematics in Practice and Theory 机构：桂林航天工业学院理学部; 出版日期：2018-09-23 出版单位：数学的实践与认识 年：2018 期：v.48 基金：广西教育厅科研项目(YB2014436) 语种：中文; 页：SSJS201818033 页数：6 CN：18 ISSN：11-2018/O1 分类号：288-293

摘要

在分数Black-Scholes模型下,应用两点Geske-Johnson定价法推导连续支付红利为常数的美式看跌期权的近似公式.首先假定期权没有提前实施,其价格为对应欧式看跌期权的价格;再将期权的实施时刻指定为两个时刻,通过中性风险定价法推导价格公式,然后利用两点Geske-Johnson定价法得到美式看跌期权价格的近似公式.最后给出一个数值算例,结果显示Hurst参数和到期日对价格的影响.
        The two-point Geske-Johnson approximation is applied to pricing American put option with constant continuous-paying dividends in the fractional Black-Scholes model.First, the article assumes that the American put option can be exercised only at maturity,then the value equals to the value of its corresponding European put option. Second, assumes the option can be exercised at two instants, a formula is derived by risk neutral valuation.With the two-point Geske-Johnson approximation, an approximate formula of American put option is obtained. Finally a numerical example is presented and the results show that the influence of the Hurst parameter and the maturity on the option price.

引文

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