离散分红下障碍期权的间接级数展开定价方法
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引用本文:杨舒荃, 贾兆丽, 崔龙庆, 杨锦涛.离散分红下障碍期权的间接级数展开定价方法[J].经济数学,2018,(2):72-77
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作者单位
杨舒荃, 贾兆丽, 崔龙庆, 杨锦涛 (合肥工业大学 数学学院 安徽 合肥 230601) 
中文摘要:人们投资股票市场的最大动力,除了从股票本身的升值中获利,还包括收益分红.提出了带有离散分红的障碍期权的一种新型的近似方法,以向上敲出看涨障碍期权为例,固定分红的次数,通过泰勒级数展开得到关于关键变量的仿射函数,给出了一个只带有一维积分的定价公式,提高了计算速度.该方法还可以用于回望期权等其它衍生品的定价,对在市场上进行期权交易有一定指导意义.
中文关键词:金融学  障碍期权  泰勒展开  离散分红  偏正态分布
 
Indirect Series Expansion Method for Pricing Barrier Options with Discrete Dividend Payments
Abstract:The incentive for people to invest in stock market is receiving dividend payments, in addition to gaining appreciation of the stock value itself. A new approach has been presented for pricing barrier options with discrete dividend payments, which take up-and-out call option as an example and fix the amount of the discrete dividend. An affine function of key variables is obtained through Taylor series expansion. A new approximation formula with only one-dimensional integrals involved has been derived. The method improves computing speed and can be applied to pricing other derivatives, such as look-back options and so on, which has instructional significance for trading options in real markets.
keywords:finance  barrier options  Taylor expansion  discrete dividend  skewed normal distribution
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