| CEV过程下有交易费的回望期权定价研究 |
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| 引用本文： | 袁国军,肖庆宪. CEV过程下有交易费的回望期权定价研究[J]. 系统工程学报, 2011, 26(5) |
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| 作者姓名： | 袁国军 肖庆宪 |
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| 作者单位： | 1. 上海理工大学管理学院,上海200093;皖西学院经济与管理学院,安徽六安237012
2. 上海理工大学管理学院,上海,200093 |
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| 基金项目： | 上海市重点学科建设资助项目，安徽省教育厅自然科学基金资助项目 |
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| 摘 要： | 为了研究在不完全市场下的一类回望期权的定价问题,即波动率为常数(CEV)过程下存在交易费的一类回望期权的定价问题.利用无套利原理和广义Ito公式,建立了期权定价模型,得到了在该模型下期权价格所满足的微分方程,并且利用有限差分的方法,给出了微分方程具体的Crank-Nicolson隐式格式的数值解,最后通过一个具体数值实例验证了该方法的有效性.
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| 关 键 词： | 期权定价 回望期权 CEV模型 交易费 |
Study of pricing lookback options in CEV process with transaction cost |
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| YUAN Guo-jun,XIAO Qing-xian. Study of pricing lookback options in CEV process with transaction cost[J]. Journal of Systems Engineering, 2011, 26(5) |
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| Authors: | YUAN Guo-jun XIAO Qing-xian |
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| Affiliation: | YUAN Guo-jun~(1,2),XIAO Qing-xian~1 (1.Business School,University of Shanghai for Science and Technology,Shanghai 200093,China,2.Department of Economy and Management,West Anhui University,Lu'an 237012,China) |
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| Abstract: | In order to study a class of the pricing of the lookback options with transaction cost in the constant elasticity of variance(CEV) process under an inefficient market,by applying the genera lized Ito formula and no-arbitrage principle a options pricing model and the differential equation of the model are derived.And the concrete Crank-Nicolson numerical arithmetic scheme of the differential equation is obtained by using the finite difference method.Finally a numerical example is validates the validity of th... |
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| Keywords: | option pricing lookback options CEV model transaction cost |
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