| 次扩散机制下带有交易成本的Merton期权定价模型 |
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| 引用本文： | 郭志东.次扩散机制下带有交易成本的Merton期权定价模型[J].南华大学学报(自然科学版),2017,31(2):38-41. |
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| 作者姓名： | 郭志东 |
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| 作者单位： | 安庆师范大学 数学与计算科学学院,安徽 安庆 246000 |
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| 基金项目： | 安徽省教育厅自然科学基金项目(AQKJ2015B011;KJ2016A428) |
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| 摘 要： | 研究了次扩散过程驱动下带有交易成本的Merton期权定价模型.得到了此模型下欧式看涨期权所满足的Black-Scholes方程,并给出了欧式看涨期权的定价公式.
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| 关 键 词： | 次扩散过程 交易成本 期权定价 |
| 收稿时间： | 2017/1/8 0:00:00 |
Pricing Options Under Merton Model with TransactionCosts in Subdiffusive Regime |
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| GUO Zhi-dong.Pricing Options Under Merton Model with TransactionCosts in Subdiffusive Regime[J].Journal of Nanhua University:Science and Technology,2017,31(2):38-41. |
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| Authors: | GUO Zhi-dong |
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| Institution: | Department of Mathematics,Anqing Normal University,Anqing,Anhui 246000,China |
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| Abstract: | In this paper,the Merton model of option pricing with transaction costs in subdiffusive regime is studied.The Black-Scholes equation which European call options satisfy is derived.Moreover,the explicit formula for european call option is given. |
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| Keywords: | subdiffusive process transaction costs option pricing |
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