| CEVP下有交易费用的亚式看跌期权定价模型 |
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| 引用本文： | 陈刚,杜雪樵.CEVP下有交易费用的亚式看跌期权定价模型[J].合肥学院学报(自然科学版),2006,16(2):19-22. |
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| 作者姓名： | 陈刚 杜雪樵 |
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| 作者单位： | 合肥工业大学,理学院,合肥,230009 |
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| 摘 要： | 首先介绍了波动率弹性为常数(简称CEV)的涵义;接着通过对服从几何布朗运动的有交易费用的亚式看跌期权定价模型的研究,推导出CEVP下有交易费用的亚式看跌期权定价公式,并证明了该公式的合理性;随后又运用了二叉树方法求出其几何平均的近似解;最后用实例验证了该结论的有效性和实用性.
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| 关 键 词： | 亚式看跌期权 CEV 二叉树 几何平均 |
| 文章编号： | 1673-162X(2006)02-0019-04 |
| 修稿时间： | 2006年2月21日 |
The Model of Asian Put Option Pricing with Geometric Averaging and Transaction Costs under the CEV Process |
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| CHEN Gang,DU Xue-qiao.The Model of Asian Put Option Pricing with Geometric Averaging and Transaction Costs under the CEV Process[J].Journal of Hefei University :Natural Sciences,2006,16(2):19-22. |
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| Authors: | CHEN Gang DU Xue-qiao |
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| Abstract: | In this paper,firstly,the conception of the CEV is introduced.Secondly,It is gained that is the formula of Asian Put Option pricing with Geometry Average and Transaction Costs under the CEV Process by studying the formula of Asian Put Option pricing with Geometry Average and Transaction Costs Under the geometry Brownian movement and the pricing formula is proved.Thirdly,its approximate solution is seeked by the binomial tree.At last,the validity and the practicability of the conclusion are validated. |
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| Keywords: | Asian Put Option CEV binomial tree geometry Average |
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