分数次Black-Scholes模型下美式期权定价的近似公式

An Approximation Formula for Pricing American Option under the Fractional Black-Scholes Model

在分数次Black-Scholes模型下,以连续支付红利的美式看涨期权为例,用二次近似法推导美式期权定价的近似公式,得到了与经典Black-Scholes模型下相似的结果.最后证明美式看涨—看跌期权的对称关系在分数次Black-Scholes模型下也成立.

Based on the assumption of the fractional Black-Scholes model, a quadratic approximation under the Black-Scholes model is applied to pricing the American call option with continuous-paying divi- dend, a similar approximate formula is derived, and the call-put symmetric relation is proved.