随机化
股息
计量经济学
价值(数学)
数学
数理经济学
布莱克-斯科尔斯模型
金融经济学
经济
精算学
应用数学
统计
财务
随机对照试验
外科
波动性(金融)
医学
摘要
While American calls on non-dividend-paying stocks may be valued as European, there is no completely explicit exact solution for the values of American puts. We use a technique called randomization to value American puts and calls on dividend-paying stocks. This technique yields a new semiexplicit approximation for American option values in the Black-Scholes model. Numerical results indicate that the approximation is both accurate and computationally efficient.
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