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.
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.
出处
《重庆交通学院学报》
2005年第2期148-150,共3页
Journal of Chongqing Jiaotong University
关键词
红利
交易费用
美式期权
有限差分法
dividends
transaction cost
American options
finite difference method
