| 有交易成本且标的资产在布朗运动和泊松运动共同作用下的多因素期权定价 |
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| 引用本文： | 任芳玲,乔克林,李粉香.有交易成本且标的资产在布朗运动和泊松运动共同作用下的多因素期权定价[J].延安大学学报(自然科学版),2010,29(1):25-27. |
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| 作者姓名： | 任芳玲 乔克林 李粉香 |
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| 作者单位： | 延安大学,数学与计算机科学学院,陕西,延安,716000 |
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| 基金项目： | 延安大学研究生教育创新项目 |
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| 摘 要： | 在交易费用的金融市场中,且两个标的资产同时在布朗运动和泊松运动共同作用下,得出了彩虹期权的定价模型.进而继续推广,在多因素期权中也得出了类似的结论。
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| 关 键 词： | 期权定价 交易成本 彩虹期权 多因素期权 |
Multi-factor Option Pricing about Underlying Asset Driven by Brownian Motion and Poisson Motion with Transaction Costs |
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| REN Fang-ling,QIAO Ke-lin,LI Fen-xiang.Multi-factor Option Pricing about Underlying Asset Driven by Brownian Motion and Poisson Motion with Transaction Costs[J].Journal of Yan'an University(Natural Science Edition),2010,29(1):25-27. |
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| Authors: | REN Fang-ling QIAO Ke-lin LI Fen-xiang |
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| Institution: | REN Fang-ling,QIAO Ke-lin,LI Fen-xiang (College of Mathematics , Computer Science,Yanan University,Yanan 716000,China) |
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| Abstract: | In the financial market with transaction costs,and the two underlying assets are driven by Brownian motion and Poisson motion,the model of rainbow option pricing is obtained.Then the model continues to be promoted,the similar conclusion is obtained about multi-factor option. |
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| Keywords: | option pricing transaction costs rainbow option multi-factor option |
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