论文部分内容阅读
基于熵定价理论,结合美式期权解析近似求解的G eske-Johnson方法,构建了美式债券期权定价熵模型,给出了标的资产为零息票债券和息票债券的美式期权估值的解析近似计算公式,并展示了具体的算法步骤.
Based on the theory of entropy pricing and the Geske-Johnson method for solving the approximate solution of American options, an entropy model of American bond options pricing is constructed. The analytical approximation of American option valuation with zero-coupon bonds and coupon bonds is given Formula, and shows the specific algorithm steps.