| 有交易成本的回望期权定价模型的数值解 |
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| 引用本文： | 袁国军,赵建中.有交易成本的回望期权定价模型的数值解[J].合肥工业大学学报(自然科学版),2008,31(11). |
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| 作者姓名： | 袁国军 赵建中 |
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| 作者单位： | 皖西学院,数理系,安徽,六安,237012 |
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| 基金项目： | 安徽省高校青年教师科研项目，安徽省高校青年教师科研项目 |
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| 摘 要： | Black-Scholes模型成功解决了完全市场下的欧式期权定价问题。文章主要研究了一类有交易成本的回望期权的定价问题,利用Ito公式,得到了在该模型下期权价格所满足的微分方程,最后由有限差分方法,得到了该微分方程的数值解,并且通过实例验证了该数值解的有效性。
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| 关 键 词： | 期权定价 回望期权 交易成本 有限差分 |
Numerical solution for one of the pricing models of the lookback options with transaction costs |
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| YUAN Guo-jun,ZHAO Jian-zhong.Numerical solution for one of the pricing models of the lookback options with transaction costs[J].Journal of Hefei University of Technology(Natural Science),2008,31(11). |
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| Authors: | YUAN Guo-jun ZHAO Jian-zhong |
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| Abstract: | The Black-Scholes model has solved European option pricing in the efficient market successfully.This paper studies the valuation of lookback options with transaction costs and derives the differential equation of the option pricing model by using the Ito formula.The numerical solution of the differential equation is obtained by the finite difference method,and the validity of the numerical solution is proved by the numerical examples. |
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| Keywords: | option pricing lookback option transaction cost finite difference |
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