分数次Black-Scholes模型下美式期权定价的近似解析式

Approximation analytic formulas for pricing American option in the fractional Black-Scholes model

在分数次Black-Scholes模型下,应用二次近似法推导连续支付红利的美式期权定价的近似公式,并根据公式分析红利对美式期权提前实施的影响.

In this paper based on the assumption of the fractional Black-Scholes model, the classical quadratic approximation in the Black-Scholes model is applied to pricing A- merican options with continuous-paying dividends, similar approximate formulas are derived, and the influence of dividends on early exercise of American options is analyzed.