| 分数布朗运动下带交易费和红利的欧式期权定价 |
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| 引用本文： | 宋燕燕,王子亭.分数布朗运动下带交易费和红利的欧式期权定价[J].河南师范大学学报(自然科学版),2010,38(6). |
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| 作者姓名： | 宋燕燕 王子亭 |
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| 基金项目： | 中国石油大学(华东)研究生创新基金 |
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| 摘 要： | 主要讨论了有交易费和红利支付情况下欧式看涨期权定价问题,通过无套利和对冲原理分析得出了修正波动率及其最小值,给出了分数布朗运动环境中的期权定价公式,并讨论了交易费和红利对修正波动率的影响,波动率和Hurst指数对期权价格的影响.
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| 关 键 词： | 分数布朗运动 Black-Scholes模型 交易成本 红利 期权定价 |
European Option Pricing with Transaction Costs and Dividends Under Fractional Brownian Motion |
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| SONG Yan-yan,WANG Zi-ting.European Option Pricing with Transaction Costs and Dividends Under Fractional Brownian Motion[J].Journal of Henan Normal University(Natural Science),2010,38(6). |
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| Authors: | SONG Yan-yan WANG Zi-ting |
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| Abstract: | This paper mainly discusses European call option pricing with Transaction Costs and Continuous dividends,The research obtains modified volatility and the minimum value by no arbitrage and hedging theory,gaving the option pricing formula and discussing the effect on modified volatility under Transaction Costs and Continuous dividends,and the effect on option price under volatility and Hurst index. |
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| Keywords: | fractional Brownian motion Black-Scholes model transaction cost dividends option pricing |
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