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《Mathematics in Practice and Theory》 2018-18
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The Two-point Geske-Johnson Approximation of American put Option Pricing

LIN Han-yan;Department of Science, Guilin University of Aerospace Technology;  
The two-point Geske-Johnson approximation is applied to pricing American put option with constant continuous-paying dividends in the fractional Black-Scholes model.First, the article assumes that the American put option can be exercised only at maturity,then the value equals to the value of its corresponding European put option. Second, assumes the option can be exercised at two instants, a formula is derived by risk neutral valuation.With the two-point Geske-Johnson approximation, an approximate formula of American put option is obtained. Finally a numerical example is presented and the results show that the influence of the Hurst parameter and the maturity on the option price.
【Fund】: 广西教育厅科研项目(YB2014436)
【CateGory Index】: F831.53
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