| 带交易费的多资产期权定价模型及数值解法 |
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| 引用本文： | 黎伟,周圣武.带交易费的多资产期权定价模型及数值解法[J].徐州师范大学学报(自然科学版),2011,29(2):53-56. |
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| 作者姓名： | 黎伟 周圣武 |
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| 作者单位： | 中国矿业大学理学院,江苏徐州,221116 |
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| 基金项目： | 中央高校基本科研业务费专项资金资助项目 |
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| 摘 要： | 研究了考虑交易成本的多资产期权定价问题.首先运用证券组合技术和无套利原理将Hoggard-Whalley-Wil-mott模型推广为多资产的情形;而后以极大期权为例,运用变量替换对模型进行简化,构建出该模型的一种显式差分格式;最后通过数值算例验证该格式的稳定性与收敛性,同时讨论了初始价格及交易费系数对期权价格的影响.
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| 关 键 词： | 多资产期权 交易费 无套利原理 显式差分格式 |
Multi-asset option pricing model and numerical method with transaction costs |
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| Li Wei,Zhou Shengwu.Multi-asset option pricing model and numerical method with transaction costs[J].Journal of Xuzhou Normal University(Natural Science Edition),2011,29(2):53-56. |
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| Authors: | Li Wei Zhou Shengwu |
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| Institution: | Li Wei,Zhou Shengwu(College of Sciences,China University of Mining & Technology,Xuzhou 221116,Jiangsu,China) |
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| Abstract: | The multi-asset option pricing problem with transaction costs is studied.First of all,the Hoggard-Whalley-Wilmott model is extended to the case of multi-asset by portfolio and no-arbitrage principle;then taking the maximum option for example,the model is simplified by using variable substitution and an explicit difference scheme is proposed;finally,the stability and convergence are showed in a numerical example,and the influence of transaction costs coefficient and initial price on the option value is dissc... |
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| Keywords: | multi-asset option transaction cost no-arbitrage principle explicit difference |
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