| 美式有分红看涨篮子期权解析近似定价模型 |
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| 引用本文： | 唐耀宗.美式有分红看涨篮子期权解析近似定价模型[J].内江师范学院学报,2014(10):19-22. |
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| 作者姓名： | 唐耀宗 |
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| 作者单位： | 喀什师范学院 数学系,新疆喀什,844008 |
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| 摘 要： | 针对有分红美式篮子看涨期权,使用格点法与蒙特卡罗模拟法定价时,会产生＂维数灾难＂.对此,将期权的收益项进行适当改写,然后利用几何平均与算术平均之间的关系,将标的资产组合从算术平均转化为几何平均;然后在单标的资产美式期权解析近似定价模型的基础上,提出了一种解析近似方法为美式分红篮子看涨期权进行定价（Analytical Approximation Method,简称AAM）.此方法解决了＂维数灾难＂问题.最后,通过数值结果验证了该方法的有效性。
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| 关 键 词： | 美式篮子期权 维数灾难 解析近似法 |
The Analytical Approximation Pricing Model for Solving American Basket Call Option with Dividend |
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| TANG Yao-zong.The Analytical Approximation Pricing Model for Solving American Basket Call Option with Dividend[J].Journal of Neijiang Teachers College,2014(10):19-22. |
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| Authors: | TANG Yao-zong |
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| Institution: | TANG Yao-zong (Department of Mathematics of Kashgar Teachers＇ College , Kashgar, Xinjiang 844008,China) |
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| Abstract: | The＂dimensionality curse＂incurred by the Lattice method and Monte Carlo simulation method in pricing the American Basket Call Option forces us to make some adjustment by rewriting the option income items.By use of the relation between the arithmetic mean and geometric mean,the underlying asset portfolio is transformed from a arithmetic mean into a geometric mean;then based on the BW（American single underlying asset option analytical approximation pricing model）,a new Analytical Approximation Method（AAM）for pricing the American Basket Call Option with dividend is worked out,which successfully gets rid of the＂Curse of Dimensionality＂and numerical simulation also proves its validity. |
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| Keywords: | American basket option Dimensionality curse Analytical approximation method |
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