| 有交易成本的标的资产服从混合过程的期权定价 |
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| 引用本文： | 刘倩,刘新平.有交易成本的标的资产服从混合过程的期权定价[J].陕西师范大学学报,2004,32(3):28-30. |
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| 作者姓名： | 刘倩 刘新平 |
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| 作者单位： | 陕西师范大学数学与信息科学学院,陕西西安710062 |
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| 基金项目： | 国家自然科学基金资助项目(40271037) |
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| 摘 要： | 在界定交易成本的基础上，改变Black-Scholes期权定价模型的基本假设，认为标的资产服从混合过程，用证券组合模拟期权收益构造有交易成本的标的资产服从混合过程的欧式期权定价基本方程，推广了标的资产服从混合过程的欧式期权定价模型．
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| 关 键 词： | 标的资产 交易成本 欧式期权 期权定价模型 证券组合 Black-Scholes 收益 混合过程 基本方程 推广 |
| 文章编号： | 1672-4291(2004)03-0028-03 |
| 修稿时间： | 2003年9月24日 |
Option pricing about underlying asset pricing process by mixed process with transaction costs |
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| LIU Qian,LIU Xin-ping.Option pricing about underlying asset pricing process by mixed process with transaction costs[J].Journal of Shaanxi Normal University: Nat Sci Ed,2004,32(3):28-30. |
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| Authors: | LIU Qian LIU Xin-ping |
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| Abstract: | On the definition of transaction costs, by changing basic assumption of Black-Scholes option pricing model to the assumption that underlying asset pricing process is mixed process, the basic option pricing equations with transaction costs whose underlying asset pricing process is mixed process replicating the payoff of option by portfolio combination are discussed, and it is extended that the option pricing model whose underlying asset pricing process is mixed process. |
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| Keywords: | option pricing mixed process transaction costs portfolio combination |
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