| 浮动敲定价格的几何平均亚式期权的定价模型 |
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| 引用本文： | 曲军恒,霍颖瑜. 浮动敲定价格的几何平均亚式期权的定价模型[J]. 佛山科学技术学院学报(自然科学版), 2006, 24(2): 36-39 |
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| 作者姓名： | 曲军恒 霍颖瑜 |
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| 作者单位： | 佛山科学技术学院,信息科学与数学系,广东,佛山,528000;佛山科学技术学院,信息科学与数学系,广东,佛山,528000 |
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| 摘 要： | 以B lack-Scho les模型为基础,通过对有固定敲定价格的亚式期权的研究,结合有交易费的欧式期权的定价公式,运用证券组合技术与无套利原理,推出有交易费的非线性期权定价模型。通过对方程的化简、分析,在一定的条件下将非线性的期权定价模型化为C auchy问题求解,得出具体的有交易费的亚式期权定价公式。
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| 关 键 词： | 交易费 亚式期权 定价公式 |
| 文章编号： | 1008-0171（2006）02-0036-04 |
| 收稿时间： | 2005-04-07 |
| 修稿时间： | 2005-04-07 |
Price formula for Geometry average Asian option with transaction costs |
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| QU Jun-heng,HUO Ying-yu. Price formula for Geometry average Asian option with transaction costs[J]. Journal of Foshan University(Natural Science Edition), 2006, 24(2): 36-39 |
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| Authors: | QU Jun-heng HUO Ying-yu |
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| Affiliation: | Department of Information Sciences and Mathematics, Foshan University, Foshan 528000,China |
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| Abstract: | By studying Asian option with floating striking price,incorporating European option pricing formula with transaction costs,and using the security combination technology and nonarbitrage theory,this article,which is based on Black-Scholes model,deduces the nonlinear option pricing model with transaction costs.By analyzing these equations under certain conditions,transforming it into Cauchy problem,it deduces Asian option pricing formula with transaction costs. |
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| Keywords: | transaction cost Asian option pricing formula |
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