| 连续支付红利及有交易成本的领子期权定价模型 |
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| 引用本文： | 蒲冰远,唐应辉,袁勋. 连续支付红利及有交易成本的领子期权定价模型[J]. 数学的实践与认识, 2009, 39(10) |
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| 作者姓名： | 蒲冰远 唐应辉 袁勋 |
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| 作者单位： | 1. 成都纺织高等专科学校,基础部,四川,成都,611731
2. 四川师范大学,数学与软件科学学院,四川,成都,610066 |
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| 基金项目： | 四川省学术与技术带头人培养基金,四川省教育厅自然科学青年基金 |
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| 摘 要： | 在无风险利率r(t)和波动率σ(t)均为时间t的函数及市场无套利假设下,分别考虑了连续红利率q(t)和有交易成本情况下的领子期权定价,通过建立相应定价模型,得到了领子期权不同的定价公式.
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| 关 键 词： | 领子期权 连续红利 交易成本 期权定价 |
The Models of Collar Option Pricing with Continuous Dividend and Transaction Costs |
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| PU Bing-yuan,TANG Ying-hui,YUAN Xun. The Models of Collar Option Pricing with Continuous Dividend and Transaction Costs[J]. Mathematics in Practice and Theory, 2009, 39(10) |
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| Authors: | PU Bing-yuan TANG Ying-hui YUAN Xun |
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| Abstract: | Based on assumption that the riskless interest rate r(t) and the volatility σ(t) of the stock are functions of the time t, and that the financial market is arbitrage-free, pricing collar option with continuous dividend q(t) or transaction costs are studied. By constructing their models, this article present formulas of collar option pricing. |
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| Keywords: | continuous dividend transaction costs collar option pricing |
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