CEV下考虑突发事件影响的有交易费用的交换期权定价
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引用本文:干晓蓉1,于凤雪2,全志勇2, 陈蔚3.CEV下考虑突发事件影响的有交易费用的交换期权定价[J].经济数学,2012,(4):56-59
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干晓蓉1,于凤雪2,全志勇2, 陈蔚3 (1.昆明理工大学 城市学院云南 昆明6500512.湖南大学 数学与计量经济学院湖南 长沙4100823.惠州市委党校广东 惠州516008) 
中文摘要:在股票价格满足CEV且受布朗运动和泊松过程共同驱动的模型下,对支付交易费用的交换期权定价进行研究,给出了期权价格满足的偏微分方程,并发现定价模型中股票价格的幂指数与波动率弹性α的选取有关,同时交易费用受泊松强度参数λ的影响,且随着λ的变大而变小.
中文关键词:交换期权  CEV模型  布朗运动  泊松过程  交易费用
 
Exchange Option Pricing Based on Poisson Motion under Constant Elasticity of Variance with Transaction Costs
Abstract:This paper studied the Exchange Option pricing with transaction costs,while the stock prices under the Constant Elasticity of Variance process are driven by Brownian motion and Poisson process.We give a partial differential equation with which option price is satisfied. It is found that power index of stock prices is relevant to the selection of volatility elasticityα in the pricing model.In addition,the Poisson intensity parameter λ affects the transaction costs,which decrease with a larger parameter.
keywords:exchange option  constant elasticity of variance  Brownian motion  Poisson motion  transaction Costs
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