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有交易费用和红利的美式期权的紧差分逼近 预览 被引量:1

Compact finite difference approximation of American option with transaction costs and dividend payments
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摘要 基于Black—Scholes期权定价方程,建立带有交易费用和支付红利的美式期权定价模型,并采用紧差分方法给出了该模型的求解算法.进一步通过具体实例,利用Matlab分别计算出期权处于多头、空头及无交易费用时的价格,最后将计算结果做了比较. Based on the Black-Scholes option pricing equation,American option pricing model which in- cludes transaction costs and dividend payments wer established. The compact finite difference method was used to give the algorithm for solving the model. In addition, the numerical examples were given. Using Mat|ab,option prices with long position, bear position, and no transaction costs were calculated, respectively. At last the calculated results were comnnred
作者 李建辉 贺兴时 杨睿通 LI Jian-hui , HE Xing-shi , YANG Rui-tong (School of Science, Xi~an Polytechnic University, Xi'an 710048, China)
出处 《西安工程大学学报》 CAS 2012年第5期667-671,共5页 Journal of Xi an University of Engineering Science and Technology
基金 陕西省教育厅专项基金项目(2011JK0188,2012JK0744)
关键词 美式期权 交易费用 紧差分逼近 American option~ transaction costsl compact finite difference approximation
作者简介 通讯作者:贺兴时(1960-),男,陕西省富平县人,西安工程大学教授.E-mail:xsh1002@126.com
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