带股息的期权定价

2011 Fourth International Joint Conference on Computational Sciences and Optimization Pub Date : 2011-04-15 DOI:10.1109/CSO.2011.208

Jingfeng Xu, Haijian Zhao, Zheyuan Zhong

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引用次数: 0

摘要

本文提出了一种新的离散时间二项式期权定价方法，并开发了一种带股利的期权定价数值方法。通过使用生成函数(一种非常有用的点阵路径枚举工具)，在二叉树上极大地简化了回溯期权定价方法的计算。数值实验表明，该方法快速、准确，易于实现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Pricing Lookback Options with Dividends

We provide new and discrete time binomial approaches for pricing look back options, and develop a numerical method for look back options with dividends. By using generating functions, a very useful tool in lattice path enumeration, the computation of the approach for pricing look back options is significantly simplified on the binomial tree. Numerical experiment shows that the approach is fast, accurate and easy to implement.

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2011 Fourth International Joint Conference on Computational Sciences and Optimization

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