Analysis of the Premium of American Option Based on both Mathematical Method and Python
- 10.2991/assehr.k.220401.064How to use a DOI?
- American calls and puts; European calls and puts; option premium
This paper mainly analyzes the influence of different factors on the price of American call option and put option and European call option and put option. This paper mainly considers the option premium from four aspects: strike price, up factor, down factor, and interest rate. First, this paper discusses the possible situation of stock prices in different periods, and then gives the corresponding market decisions and the consequences of the corresponding market decisions according to different situations. In each case, this paper shows the process of option premium change through binomial tree diagram and a lot of formula analysis, and then compares the American option with the European option. Through this paper, people can have a basic understanding of American option and European option, and people can have a deeper understanding of the operating logic behind them.
- © 2022 The Authors. Published by Atlantis Press SARL.
- Open Access
- This is an open access article distributed under the CC BY-NC 4.0 license.
Cite this article
TY - CONF AU - Bodan Yang AU - Chenxi Xia AU - Shangbin Ye AU - Jiajin Chen PY - 2022 DA - 2022/04/08 TI - Analysis of the Premium of American Option Based on both Mathematical Method and Python BT - Proceedings of the 2022 International Conference on Social Sciences and Humanities and Arts (SSHA 2022) PB - Atlantis Press SP - 320 EP - 327 SN - 2352-5398 UR - https://doi.org/10.2991/assehr.k.220401.064 DO - 10.2991/assehr.k.220401.064 ID - Yang2022 ER -