| 有交易成本的标的资产服从混合过程的新型期权定价 |
| |
| 引用本文： | 乔克林,蒋登智,李晋枝.有交易成本的标的资产服从混合过程的新型期权定价[J].河南科学,2012,30(1):27-30. |
| |
| 作者姓名： | 乔克林 蒋登智 李晋枝 |
| |
| 作者单位： | 1. 延安大学数学与计算机科学学院,陕西延安,716000
2. 中央民族大学理学院,北京,100081 |
| |
| 基金项目： | 基金项目：陕西省自然科学基础研究计划项目（2009JM8004-7）;国家民委科研项目（10ZY03） |
| |
| 摘 要： | 在有交易成本和红利的基础上,改变Black-Scholes期权定价模型的基本假设,认为标的资产是服从混合过程,运用证券组合模拟期权收益的方法,得到有交易成本和红利的标的资产服从混合过程的彩虹期权定价方程,以及多因素期权定价方程.
|
| 关 键 词： | 混合过程 期权定价 交易成本 红利 证券组合 |
New Option Pricing about Underlying Asset Pricing Process by Mixed Process with Transaction Cost |
| |
| Qiao Kelin
,
Jiang Dengzhi
,
Li Jinzhi.New Option Pricing about Underlying Asset Pricing Process by Mixed Process with Transaction Cost[J].Henan Science,2012,30(1):27-30. |
| |
| Authors: | Qiao Kelin Jiang Dengzhi Li Jinzhi |
| |
| Institution: | 1. College of Mathematics and Computer Science, Yan＇an University, Yan＇an 716000, Shaanxi China; 2. College of Science, Central University for Nationalities, Beijing 100081, China) |
| |
| Abstract: | On the definition of transaction costs and dividends, by changing basic assumption of Black-Scholes option pricing model to the assume that underlying asset complies with mixed process. Using the method of portfolio combination to simulation options gains, get rainbow option pricing equation about underlying asset pricing process by mixed process with transaction cost and dividends, and many factors option pricing equation. |
| |
| Keywords: | mixed process option pricing transaction costs dividends portfolio combination |
| 本文献已被 维普 万方数据 等数据库收录！ |
|
