基于精算思想的美式期权定价模型

American Options Pricing Models by Actuarial Considerations

本文利用精算思想,从评估实际损失和相应概率分布角度定量研究任意时刻提出执行的看涨期权定价模型,在此基础上确定看涨期权时间价值。由于美式看跌期权费明显高于欧式期权费,将美式看跌期权价值分解为欧式期权费和看涨期权时间价值之和,推导出连续时间状态下美式期权定价模型,一定程度解决目前美式期权尚无明确解析公式的理论缺憾。最后通过实证分析证明美式期权定价模型的有效性,为理论研究及实践应用提供借鉴。

Based on actuarial considerations, the paper studies the pricing of call options exercised at any time before the expiration from evaluating actual losses and corresponding probability distribution, and gets the time value of call options. According to the fact that American option premium is higher than European option premium, we conclude that American put option pricing model can be decomposed by the European put option premium and call options time value,and then American put options pricing models with continuous-time are deduced, which overcome the difficulty of having no explicit analytic formula up till now. The final empirical analysis of comparing with the actual prices gives the dependability of the options pricing formulas presented in this paper, which can be used as a reference for the theoretical researches and empirical application.