离散分红情形下的欧式期权定价新模型

A Novel Model for Pricing European Option with Discrete Dividends

标的资产支付离散红利情形下的期权定价,一直是具挑战性的研究问题.本文提出一种基于红利加权的新模型,建立并证明了期权价格表示定理.理论分析显示,提出的新模型能完整地考虑红利支付时间、大小、次数等对期权价格的影响,因此可以给出精确的定价结果.我们还证明了新模型与其它经典模型及基准模型之间的关系,从而解释了新模型具有更优的定价精确度.数值结果也表明,所提出的新模型可为期权给出高度精确的价格、具有很强的定价稳健性.基于此,新模型可望成为已有模型的新的补充.

Option pricing with discrete dividend payments is still a challenge.This paper proposes a novel model by taking the dividends into consideration,and estab-lishes the option price theorem for obtaining the option price.Theoretical analysis shows that the proposed new model can fully take the impact of dividend payments on option price such as the dividend paying time,amount and number,and hence it can produce an accurate price for option.We also conduct a theoretical comparison of the pricing between the newly-proposed model and classic/benchmark,with which the relation and pricing differences between the new model and these models are deeply detected.The numerical results also show that the proposed model can produce highly accurate prices for options and has strong pricing robustness.Based on this,our model can be an excellent alternative of pricing European options written on the underlying asset paying discrete dividends.