| 有交易费的几何平均亚式期权的定价公式 |
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| 引用本文： | 曲军恒,沈尧天,姚仰新.有交易费的几何平均亚式期权的定价公式[J].华南理工大学学报(自然科学版),2004,32(5):84-87. |
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| 作者姓名： | 曲军恒 沈尧天 姚仰新 |
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| 作者单位： | 华南理工大学,应用数学系,广东,广州,510640 |
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| 摘 要： | 以Black-Scholes模型为基础，通过对有固定敲定价格的亚式期权的研究，结合有交易费的欧式期权的定价公式，运用证券组合技术与无套利原理，推出了有交易费的非线性期权定价模型．通过对方程的化简、分析，在一定的条件下将非线性的期权定价模型化为Cauchy问题进行求解，并得出具体的有交易费的亚式期权定价公式．
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| 关 键 词： | 交易费 亚式期权 定价公式 |
| 文章编号： | 1000-565X(2004)05-0084-04 |
| 修稿时间： | 2003年11月25 |
Pricing Formula of Geometry Average Asian Option with Transaction Costs |
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| Qu Jun-heng,Shen Yao-tian,Yao Yang-xin.Pricing Formula of Geometry Average Asian Option with Transaction Costs[J].Journal of South China University of Technology(Natural Science Edition),2004,32(5):84-87. |
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| Authors: | Qu Jun-heng Shen Yao-tian Yao Yang-xin |
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| Abstract: | By studying the Asian option with fixed striking price and combining the pricing formula of the European option with Transaction Costs, the securities combination technology and the nonarbitrage theory were applied to a nonlinear pricing model of the option with Transaction Costs. This model is based on the Black-Scholes model. By reducing and analyzing the equation, the nonlinear model was then transformed into Cauchy problem in certain conditions, thus a specific pricing formula of the Asian option with Transaction Costs was deduced. |
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| Keywords: | Transaction Cost Asian option pricing formula |
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