基于MFBM模型下带交易费和红利的两值期权定价
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引用本文:叶芳琴, 刘文倩,林先伟.基于MFBM模型下带交易费和红利的两值期权定价[J].经济数学,2018,(3):77-82
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作者单位
叶芳琴, 刘文倩,林先伟 (汕头大学 商学院 数学系广东 汕头 515063) 
中文摘要:假设预期收益率 μ ,红利率 q ,波动率 σ ,无风险利率 r 均为常数,通过平均自融资和 Δ- 对冲策略建立了离散时间下带交易费用和红利的两值期权定价模型.利用变量代换和偏微分方程的相关知识进行求解此模型,分别得到了在MFBM模型下带交易费用和红利的现金或无值看涨期权(CONC) 和资产或无值看涨期权(AONC)定价公式.并在此基础上,推出了现金或无值看跌期权(CONP)和资产或无值看跌期权(AONP)定价公式.
中文关键词:金融学  两值期权定价  MFBM模型  交易成本
 
Pricing Binary Option with Transaction Costs and Dividends under the MFBM Model
Abstract:Supposing the dividends rate q, the expected return rate μ, and the volatility σ, the risk-free interest rate r are constant; the Binary option pricing model with transaction costs and dividends is established by a mean self-financing delta-hedging strategy in a discrete time setting. Solving this pricing model by using variable substitution and partial differential equations, and then the pricing formula for CONC and AONC has been obtained. On the basis of it, the pricing formula for cash-or-nothing put (CONP) and asset-or-nothing put (AONP) is also obtained.
keywords:finance  binary option pricing  MFBM model  transaction costs
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