等执行价值期权的价值和执行时机差异研究
Comparison Study on Value and Exercise Time of Options with Same Intrinsic Valu
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摘要: 以执行价值处处相等的一系列连续红利期权和变执行价格期权为例,用有限差分法分别计算其价值.指 出在执行价格变化的情况下,美式无红利看涨期权无提前执行的必要这一经典结论,只是执行价格变化为零时 的特殊结论;任何时刻执行价值相等的期权,其价值有差别,并分析了差别产生的原因及其影响因素. 关键词:期权;红利;变执行价格;执行价值Abstract: As an example, the values of continuous-dividend-paying call options and variable striking price options with the same intrinsic value at any time were respectively calculated by using the finite difference method. The research result shows that when the exercise price is variable, the typical conclusion,i.e. the non-dividend-paying American call option has no necessity to be exercised early, is correct only in the special case that the change in the exercise price is zero, and that the optionswith the same intrinsic value at any time have different values. In addition, the reasons for the difference and the factors influencing the difference were discussed.
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Key words:
- option /
- dividend /
- variable strike price /
- exercise value
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