CEV和B&P作用下带交易费的亚式期权定价模型
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引用本文:乔克林,任芳玲.CEV和B&P作用下带交易费的亚式期权定价模型[J].经济数学,2011,(3):77-81
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作者单位
乔克林,任芳玲 (延安大学 数学与计算机科学学院陕西 延安 716000) 
中文摘要:基于B -S定价模型的基础,利用Ito公式及保值策略,研究了股票价格服从CEV模型和B&P过程且存在交易费用的亚式期权的定价模型.得出了该类期权价格所满足的微分方程,并对模型做了数值分析.结论拓宽了亚式期权的研究范围,更适用于实际金融市场.
中文关键词:亚式期权  交易费用  CEV模型  B&P过程  数值分析
 
Asian Option Pricing under CEV Model and B&P Process with Transaction Costs
Abstract:On the basis of B -S pricing model, and by using It formula and hedging strategy, we studied the pricing model of Asian option with transaction costs when stock price obeys CEV model and B&P process. The differential equation of this kind of option price was obtained, and the numerical analysis was given for this model. So the conclusions broaden the research scope of Asian option, and are more suitable for the actual financial market.
keywords:Asian option  transaction costs  CEV model  B&P process  numerical analysis
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