论文标题
带有离散股息和快速拉普拉斯变换的巴西列出的选项
Brazilian listed options with discrete dividends and the fast Laplace transform
论文作者
论文摘要
巴西证券交易所（B3）长期以来一直使用仅罢工的调整来考虑其上市权益期权中的股息。此调整仍然使得在定价或投票定价时需要考虑离散股息。这项工作提出了一个基于快速拉普拉斯变换及其倒数的数值过程，该过程可以有效地计算巴西列出的选项的优质，而希腊三角洲，伽玛和theta则具有很高的精度。
The Brazilian stock exchange (B3) has long used a strike-only adjustment to account for dividends in its listed equity options. This adjustment still makes it necessary to account for discrete dividends when pricing either calls or puts. This work presents a numerical procedure, based on the fast Laplace transform and its inverse, a procedure that can efficiently compute the Brazilian listed options' premium and the Greeks delta, gamma, and theta with high accuracy.
