| 次扩散BS模型下带交易费的期权定价 |
| |
| 引用本文： | 顾惠,张云秀.次扩散BS模型下带交易费的期权定价[J].华东师范大学学报(自然科学版),2012,2012(5):85-92. |
| |
| 作者姓名： | 顾惠 张云秀 |
| |
| 作者单位： | 1. 华东师范大学数学系,上海,200241
2. 华东师范大学数学系,上海200241;南京林业大学应用数学系,南京210037 |
| |
| 基金项目： | 上海市自然科学基金(11ZR1410300);南京林业大学科技创新基金(163101043) |
| |
| 摘 要： | 研究次扩散\,BS\,模型下的离散带交易费的期权定价问题. 引入作为标的股票价格的次扩散几何布朗运动. 在存在交易费的情况下, 利用离散时间平均自融资\,delta\,对冲策略得到欧式看涨期权的定价公式.
|
| 关 键 词： | 期权定价 交易费 次扩散动力学 |
| 收稿时间： | 2011-10-01 |
Pricing option with transaction costs under the subdiffusive Black-Scholes model |
| |
| GU Hui
,
ZHANG Yun-xiu.Pricing option with transaction costs under the subdiffusive Black-Scholes model[J].Journal of East China Normal University(Natural Science),2012,2012(5):85-92. |
| |
| Authors: | GU Hui ZHANG Yun-xiu |
| |
| Institution: | 1,2) (1.Department of Mathematics,East China Normal University,Shanghai 200241,China; 2.Department of Mathematics,Nanjing Forest University,Nanjing 210037,China) |
| |
| Abstract: | This paper dealt with the problem of discrete time option pricing by the subdiffusive Black-Scholes model with transaction costs.A subdiffusive geometric Brownian motion was introduced as the model of underlying asset prices exhibiting subdiffusive dynamics. In the presence of transaction costs,by a mean self-financing delta-hedging argument in a discrete time setting,a pricing formula for the European call option in discrete time setting was obtained. |
| |
| Keywords: | option pricing transaction costs subdiffusive dynamics |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《华东师范大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《华东师范大学学报(自然科学版)》下载免费的PDF全文 |
|
