| 带交易费和时间依赖型的多资产金融衍生品的定价方法-Lie代数法(英文) |
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| 引用本文： | 赵春茹,沈有建.带交易费和时间依赖型的多资产金融衍生品的定价方法-Lie代数法(英文)[J].甘肃联合大学学报(自然科学版),2012,26(5):16-23. |
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| 作者姓名： | 赵春茹 沈有建 |
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| 作者单位： | 1. 广州科技职业技术学院基础部,广东广州,510550
2. 海南师范大学数学与统计学院,海南海口,571158 |
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| 摘 要： | 本文提出了一种定价带时间参数的多资产金融衍生品的定价方法-Lie代数法,利用金融衍生品的定价偏微分方程的动力对称性,直接得到了定价方程的封闭解析解,该方法提供了一种有效的且易于操作的金融衍生品的定价方法.
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| 关 键 词： | 多资产金融衍生品 期权定价 Lie-代数法 交易费 |
Pricing Multi-Asset Financial Derivatives with Transaction Costs and Time-Dependent Parameters-Lie Algebra Approach |
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| ZHAO Chun-ru,SHEN You-jian.Pricing Multi-Asset Financial Derivatives with Transaction Costs and Time-Dependent Parameters-Lie Algebra Approach[J].Journal of Gansu Lianhe University :Natural Sciences,2012,26(5):16-23. |
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| Authors: | ZHAO Chun-ru SHEN You-jian |
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| Institution: | 1.Guangzhou Vocational College of Science and Technology,Guangzhou 510550,China;2.School of Mathematics and Statistics,Hainan Normal University,Haikou 571158,China) |
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| Abstract: | In this paper,a Lie-algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters was presented.By exploiting the dynamical symmetry of the pricing partial differential equations of the financial derivatives,the new method enables us to derive analytical closed-form pricing formulae very straightforwardly.This new approach will provide an efficient and easy-to-use method for the valuation of financial derivatives. |
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| Keywords: | multi-asset financial derivatives option pricing Lie-algebra approach transaction costs |
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