| 分数布朗运动下带交易费用的期权定价 |
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| 引用本文： | 孙琳.分数布朗运动下带交易费用的期权定价[J].系统工程,2009(9). |
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| 作者姓名： | 孙琳 |
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| 作者单位： | 广东工业大学应用数学学院; |
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| 摘 要： | 通过引入交易费用,构建合理的证券组合并采用求解偏微分方程的方法,推导出分数布朗运动下的期权定价公式,消除了分数Black-Scholes市场存在套利,分析了带交易费用的分数布朗运行环境下的避险误差。进一步的数值例子给出了不同定价模型下的定价结果,比较了自融资策略路径、分数布朗运行下期权价格路径以及带交易费用分数布朗运行下期权价格路径,说明了交易费用的引入对消除分数布朗运动金融环境套利的可行性。
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| 关 键 词： | 期权 分数布朗运动 分数-I^to-积分 交易费用 |
Option Pricing in Fractional Brownian Motion with Transaction Costs |
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| SUN Lin.Option Pricing in Fractional Brownian Motion with Transaction Costs[J].Systems Engineering,2009(9). |
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| Authors: | SUN Lin |
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| Institution: | SUN Lin(Faculty of Applied Mathematics,Guangdong University of Technology,Guangzhou 510090,China) |
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| Abstract: | By introducing transaction costs,constructing the appropriate portfolio and using the partial differential equation approach,an European option pricing formula under fractional Brownian motion with transaction costs is derived for the sake of excluding the arbitrage,then the hedging error under fractional Brownian environment with transaction costs is also analyzed.Moreover,the numerical examples show the pricing results by different pricing models and compare the self-financing portfolio path,option pricin... |
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| Keywords: | Option Fractional Brownian Motion Frational-Ito^-Integration Transaction Costs |
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