美式期权

基于B-S方程，我们分析了美式期权的定价问题，其本质是一个障碍问题。

Based on this equation , we study the pricing model for American option which essentially is an obstacle problem .

计算探讨了单资本期权有关的风险控制参数Delta、Theta、Vega和Rho，数值比较了美式期权和欧式期权中这些参数的异同。

We also discuss the risk management parameters ( Greeks ) of Single-asset Option , such as Delta , Theta , Vega and Rho , and compare the different property of Greeks of American Option to those of European Option .

基于Black-scholes公式下美式期权价格的计算

Computing Method of America Option Under the Basis of Black-scholes Formula

再次，提出本文的核心部分，用EEP高精度配置法求解随机波动率下美式期权的定价问题。

The EEP high-order collocation method is proposed and implemented to pricing American options under stochastic volatility .

第五章介绍美式期权的近似解析解，并在著名的BAW公式上进行修正，得出新的公式并进行数值试验。

Analytic approximation method is introduced in the chapter five and we make an adjustment of BAW formula .

一些比较成熟的数值计算方法对美式期权定价有局限性：如MonteCarlo模拟法是前导程序，而美式期权的边界是自由的，故MonteCarlo模拟法不能正确对其定价；

Some of relatively mature numerical methods cannot reasonably estimate American options . Because Monte-Carlo simulation is a forward induction procedure and boundary of American options is free , Monte-Carlo simulation is unable to correctly value American options .

着重研究了保险期权的欧式期权与永久性美式期权定价，并在文献[2]基础之上，根据等价鞅或风险中性性质获得了比较令人兴奋的结论&类似于Black-Scholes期权定价公式与Merton期权定价公式。

Based on reference [ 2 ] and using equivalent martingale or the risk-neutral nature , the author reaches exciting conclusions , which are similar to the Black-Scholes option pricing formula and Merton option pricing formula .

对于这类期权的定价，通常采用：MonteCarlo（蒙特卡洛）模拟法[12,13]和半解析法[4,5]；最近，文献[22]提出了一种用渐近展式表示的、易于处理的美式期权定价方法。

Pricing for such opt-ions , we commonly used methods as follows : the method of Monte Carlo simulation [ 12,13 ] and semi-analytical approximations [ 4,5 ] . Recently , literature [ 22 ] introduced an approach to price American options which using an asymptotic expansion and tractable .

随着美式期权维数的增加，存在所谓的维数灾难问题，为了克服这一难题，最小二乘支持向量机（LSSVM）被应用于定价高维美式期权。

Least-squares SVM ( LSSVM ) was applied to pricing high-dimension American option to solve the so-called " dimension curse " problem along with the rise of dimension .

二叉树法及投影SOR法是两种常用的美式期权定价的数值方法，通过数值实验与并这的两种数值方法进行比较，发现奇点分离法能明显改善计算精度和速度。

The binomial method and Projected SOR method are two normal method in American option pricing , we compare the singularity separation method with the these two and find that singularity separation method efficiently improves the accuracy and the speed of computation .

此部分指出美式期权定价在随机波动率和常数波动率下的不同之处后，构造了EEP高精度配置法，然后通过实证计算，肯定了研究方法的有效性。

After pointing out the difference in the evaluation of American options with constant and stochastic volatility , the EEP high-order collocation method is constructed to solve the problem . In addition the efficiency of the approach is confirmed by numerical examples .

在Longstaff和Schwartz（LS，2001）提出的基于多项式函数逼近的美式期权仿真定价基础上，给出美式期权重要性抽样仿真方法&顺推法及其具体算法，同时给出重要性与分层抽样相结合的算法。

Based on polynomial function-based pricing method of Longstaff and Schwartz ( LS , 2001 ), one importance sampling for pricing American option & forward tracking and its arithmetic was proposed . And the importance sampling arithmetic combining with stratification sampling was proposed , too .

给出了CIR模型下欧式期权的渐进定价公式，并利用得到的欧式期权价值微分方程和欧式期权的渐进定价公式，给出了有分红及送、配股的美式期权的渐进定价公式。

The asymptotic pricing of European option in the DIR model is derived . And the asymptotic pricing of American option on dividend-paying and placing stocks is discussed using the stochastic differential equation of the value function and the asymptotic pricing formula of the European option .

离散时间美式期权套期及停时分析

Hedging and Stopping-time Analysis About an American Option with Discrete time

线性补问题的连续性算法与美式期权定价

The Continuity Algorithm for Linear Complementarity Problem and American Option Pricing

控制变量技术在美式期权定价中的应用

An Application of the Control-variant Approaches in the American Options Pricing

两资产的美式期权有限差分法

A Finite Difference Method for American Option of Two Risky Assets

一种基于支付红利股票的美式期权定价方法

A pricing method for American options on stocks with dividends

行权时间的问题也是所有美式期权定价过程所面临的问题。

All American option pricing faced the problem of optimal stop time .

第四章讨论美式期权定价的数值方法。

Chapter four studies the numerical method of American option .

基于偏最小二乘回归的美式期权仿真定价方法

Simulating Pricing for American Put Options Based on Partial Least Square Method

美式期权的几种蒙特卡罗仿真定价方法比较

Comparison of Three Kinds of Monte Carlo Methods for American Option Pricing

基于美式期权估价的风险投资策略研究

A Study on Venture Capital Policy Based on Evaluation of American Option

美式期权定价的自由边界问题及数值方法

Free Boundary and Numerical Methods for American Options Pricing

分数跳-扩散环境下永久美式期权定价模型

Perpetual American Option Pricing Model in Fractional Jump-diffusion Environment

考虑随机波动率下美式期权定价问题的数值模拟求解。

The numerical solution for pricing American options under stochastic volatility is considered .

在随机利率条件下欧式期权、美式期权的定价及其期权定价理论的应用

European Option and American Option Pricing with Stochastic Interest Rate and Their Applications

相对于欧式期权，美式期权是可以提前执行的。

Unlike the European options , the American options can be exercised early .

离散模型下的美式期权定价

American Option Pricing in the Modal of Discrete Time

类似于美式期权的实物期权定价方法研究

Real Option Similarly American Option With Fluctuated Strike Price