| 基础股票有分红及配股的期权定价与套期保值 |
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| 引用本文： | 陈萍,叶中行,杨孝平.基础股票有分红及配股的期权定价与套期保值[J].高校应用数学学报(A辑),2004,19(3):363-368. |
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| 作者姓名： | 陈萍 叶中行 杨孝平 |
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| 作者单位： | 南京理工大学,理学院,江苏南京,210094;上海交通大学,理学院,上海,200030 |
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| 基金项目： | 国家自然科学基金(10171066) |
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| 摘 要： | 给出了有分红及配股的股票价格运动规律，并讨论了以定期分红及配股的股票为标的资产的美式看涨期权的定价与套期保值问题．通过对有凸支付函数的美式期权执行时间的讨论得到美式看涨期权的最优执行时间只可能在每次分红或送配股除权除息之前．证明了在各次分红或送配股之间，期权的值满足熟知的Black-Scholes方程。
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| 关 键 词： | 分红配股率 美式期权 最优执行时间 |
| 文章编号： | 1000-4424(2004)03-0363-06 |
Option pricing and hedging on dividend paying and placing stocks |
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| CHEN Ping,YE Zhong-xing,YANG Xiao-ping.Option pricing and hedging on dividend paying and placing stocks[J].Applied Mathematics A Journal of Chinese Universities,2004,19(3):363-368. |
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| Authors: | CHEN Ping YE Zhong-xing YANG Xiao-ping |
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| Institution: | CHEN Ping~1,YE Zhong-xing~2,YANG Xiao-ping~1 |
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| Abstract: | The paper derives the law of stock price with dividend-paying and placing,and discusses the problem of option pricing and hedging on dividend-paying and placing stocks.It gives conclusion by the discussion of American option with convex paying function that the optimal exercising time of American call options can be only at the time immediately before payment or alloment of the dividend.It is proved that the value of the option satisfies the usual Black-Scholes equation. |
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| Keywords: | dividend-paying and placing rate American option optimal exercising time |
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