| 美式期权价格的积分表示及其数值方法(英文) |
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| 引用本文： | 刘亚平,吕涛.美式期权价格的积分表示及其数值方法(英文)[J].工程数学学报,2004(Z1). |
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| 作者姓名： | 刘亚平 吕涛 |
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| 作者单位： | 四川大学数学学院，四川大学数学学院 四川成都 610064，四川成都 610064 |
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| 基金项目： | This work is supported by Ph.D.foundation of the Ministor of Education,China |
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| 摘 要： | 本文利用Lalplace变换方法得到带连续红利的美式石看涨期权价格的积分表示,以及最优执行边界满足的一个非线性的第二类Volterra积分方程。然后用数值积分公式给出了积分方程的数值觯,从而得到了带连续红利的美式看涨期权价格及其执行边界的数值解。In this paper, we apply Laplace transform to obtain an integral representation for the solution for American call options with continuous dividend, and get a nonlinear Volterra integral equation of the second kind for the optimal exercise boundary. Then we give the numerical solution to the integral equation using the quadrature formulae, and so get the numerical solution of the price of American call option with continuous dividend and the optimal exercise boundary.
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| 关 键 词： | 美式期权定价 Laplace变换 自由边界问题 非线性的第二类Volterra积分方程 |
The Integral Representation of the Price of American Options and Numerical Methods |
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| LIU Ya-ping,LU Tao.The Integral Representation of the Price of American Options and Numerical Methods[J].Chinese Journal of Engineering Mathematics,2004(Z1). |
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| Authors: | LIU Ya-ping LU Tao |
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| Abstract: | In this paper, we apply Laplace transform to obtain an integral representation for the solution for American call options with continuous dividend, and get a nonlinear Volterra integral equation of the second kind for the optimal exercise boundary. Then we give the numerical solution to the integral equation using the quadrature formulae, and so get the numerical solution of the price of American call option with continuous dividend and the optimal exercise boundary. |
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| Keywords: | American option pricing Laplace transform Free boundary value problems nonlinear Volterra integral equation of the second kind |
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