摘要
基于熵定价理论,结合美式期权解析近似求解的G eske-Johnson方法,构建了美式债券期权定价熵模型,给出了标的资产为零息票债券和息票债券的美式期权估值的解析近似计算公式,并展示了具体的算法步骤.
On the basis of the entropy pricing theory, we formulate the entropy model of American bond option with the Geske-Johnson＇s method of analytical approximation of American option, and give the option pricing analytical approximate formula of the underlying of the zero-coupon bonds and the coupon bonds. Finally, the tractable arithmetic process is presented.
出处
《数学的实践与认识》
CSCD
北大核心
2006年第8期59-64,共6页
Mathematics in Practice and Theory
基金
国家自然科学基金资助项目(70372011)
北京化工大学青年教师基金项目资助(QN0521)
