| 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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| 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 |
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| Indirect Series Expansion Method for Pricing Barrier Options with Discrete Dividend Payments |
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| 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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