本研究報告主要在探討發放股利之美式買權定價之問題，由於美式買權可以提前履約，本文以Black-Scholes Option Pricing Model為其數學模型，再設計一積分表現式，用疊代法來求得最佳履約價格，進而求得標的資產發放股利之美式買權價格，其結果再與歐式買權價格比較。最後以股價、履約價格、股價波動率、無風險利率、股利率以及到期日等因素變化是否影響美式買權與歐式買權之價格相比較。

This study deals with the prices of American option on dividend-paying. Because American call option can early exercise, in my master thesis, with Black-Scholes Option Pricing Model, I design integral representation to obtain the optimum early exercise boundary, this can evaluate the price of American call option on dividend-paying assets and compare with Europe call option. The results are used to compare with the valuation of other methods, and sensitive analysis for parameters is presented.

中文參考文獻:
[1] 陳威光， “選擇權 理論、實務與應用” ，智勝文化出版社，臺北市，2001
[2] 陳松男， “基礎選擇權與期貨” ，新陸書局，臺北市，2003
[3] 塚越一雄，“C語言完全入門”，博碩文化，台北縣汐止市，2001
[4] 蔡明憲、廖四郎、徐守德、許溪南，“美式選擇權的定價-隱含
相信模型及美國S&P100指數選擇權的應用”，中國財務學刊，第八卷 第一期，頁33-66，2000
[5] 嚴至賢，“應用邊界元素法評價發放股利之美式選擇權”，國立成功大學應用數學所碩士論文，2006

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