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一类带连续红利的永久美式期权的定价 被引量：3

Pricing for a Class of Perpetual American Options with Continuous Dividends
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摘要 在文献[8]的基础上探讨标的资产价格由分数布朗运动驱动且具有连续红利分配的永久美式期权的定价问题,对永久美式看涨期权和看跌期权的定价及其提前实施期权时临界标的资产的价格给出了相应的解析解,分析了红利率的变化对永久美式期权提前实施的影响. Based on literature [ 8 ] , it is discussed that pricing for perpetual American options with underlying asset driven by fractional Brownian motion and accompanied continuous dividends. Explicit solutions are given for the prices of the perpetual American call and the perpetual American put. The corresponding critical asset prices for early exercise are also given explicitly. Furthermore, the influence of change of dividends on early exercise of perpetual American options is analyzed.
作者 彭大衡 王海燕
机构地区 广东商学院金融学院 广东商学院数学与计算科学学院
出处 《湖南师范大学自然科学学报》 CAS 北大核心 2009年第1期3-6,共4页 Journal of Natural Science of Hunan Normal University
基金 广东省自然科学基金资助项目(8151032001000006) 广东省哲学社会科学"十一五"规划资助项目(08E12) 广东省软科学研究项目(2008B060600049)
关键词 分数布朗运动 连续红利 永久美式期权 fractional Brownian motion continuous dividends perpetual American options
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献12

  • 1CARR P, FAGUET D. Fast accurate valuation of American options[ D]. New York:ComeU University, 1994.
  • 2CARR P. Randomization and the American put[ J]. Rev Financial Studies, 1998,11 : 597-626.
  • 3MERTON R. Continuous-time Finance [ M ]. Oxford : Blackwell, 1990.
  • 4GREENE M, FIELITZ B. Long-term dependence in common stock returns[J]. J Financ Econom,1977,4:339-349.
  • 5PETERS E. Fractal market analysis[M]. New York: John Wiley & Sons Ltd. ,1994.
  • 6SHIRYAEV A N. Essentials of stochastic finance[ M]. Singapore: World Scientific, 1999.
  • 7刘韶跃,杨向群.分数布朗运动环境中欧式未定权益的定价[J].应用概率统计,2004,20(4):429-434. 被引量：50
  • 8ELLIOTT R J,CHAN L. Perpetual American options with fractional Brownian motion[J]. Quantitative Finance,2004,4: 123-128.
  • 9彭大衡.具有分数O-U过程的永久美式看跌期权的定价[J].数学物理学报（A辑）,2007,27(6):1141-1147. 被引量：8
  • 10WILMO'IT P. Derivatives-the theory and practice of financial engineering[ M]. New York: John Wiley & Sons Ltd. , 1998.

二级参考文献5

  • 1刘韶跃,杨向群.分数布朗运动环境中标的资产有红利支付的欧式期权定价[J].经济数学,2002(4):35-39. 被引量：32
  • 2Ducan, T.E., Y. Hu and B. Pasik-Ducan, Stochastic calculus for fractinal Brownian motion, I. SIAMJ. Control Optim.,38(2000), 582-612.
  • 3Hu, Y. and B. Oksendal, Fractional white noise calculus and application to finance, Inf. Dim. Anal. Quantum Prob.Rel. Top., 6(2003), 1-32.
  • 4Lin, S.J., Stochastic analysis of fractional Brownian motion, fractional noises and application, SIAM Review,10(1995), 422-437.
  • 5Ciprian Necula, Option Pricing in a Fractional Brownian Motion Enviroment, Preprint, Academy of Economic Studies Bucharest, Romania, www.dofin.ase.ro/.

共引文献56

同被引文献25

  • 1赵佃立.分数布朗运动环境下欧式幂期权的定价[J].经济数学,2007,24(1):22-26. 被引量：27
  • 2Greene M, Fielitz B. Long--term dependence in common stock returns[J]. Journal of Financial Economics, 1977, 4:339--349.
  • 3Peters E. Factual market analysis [M]. New York: John Wiley & Sons Ltd, 1994.
  • 4Elliott R.J. and Chan L.L. Perpetual American options with fractional Brownian motion[J]. Quantitative Finance, 2004, 4:123- 128.
  • 5Guo he Deng, Han yan Lin. Pricing American Put Option in a Fractional Black--Scholes Model via Compound Option[J]. Advances in Systems Science and applications, 2008, 8(3) :447--456.
  • 6Woon Kwong Wong, Kai Xu. Refining the quadratic approximation formula for an American option [J]. International Journal Theoretical and Applied Finance, 2001, 5(4) :773--781.
  • 7Hu Y. and Kendal B. Fractional white noise calculus and application to Finance[J]. Preprint, University of Also, 2000.
  • 8Elliott R.J. and Van Der Hock J. A general fractional white noise theory and applications to finance [J]. Mathematical Finance, 2003, 13, 301--330.
  • 9彭大衡.具有分数O-U过程的永久美式看跌期权的定价[J].数学物理学报（A辑）,2007,27(6):1141-1147. 被引量：8
  • 10姜礼尚,罗俊.跳扩散模型下永久美式看跌期权定价[J].系统工程理论与实践,2008,28(2):10-18. 被引量：14

引证文献3

二级引证文献5

湖南师范大学自然科学学报
2009年 第1期

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