| 有交易成本的回望期权定价研究 |
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| 引用本文： | 袁国军,杜雪樵.有交易成本的回望期权定价研究[J].运筹与管理,2006,15(3):141-143. |
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| 作者姓名： | 袁国军 杜雪樵 |
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| 作者单位： | 合肥工业大学,理学院,安徽,合肥,230009 |
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| 摘 要： | 基于标的资产价格的几何布朗运动假设，Black—Seholes模型运用连续交易保值策略成功解决了完全市场下的欧式期权定价问题。然而，在实际的金融市场中，存在着数量可观的交易成本。本文主要研究了在不完全市场下有交易成本的回望期权的定价问题，并且利用Ito公式，得到了在该模型下期权价格所满足的微分方程。
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| 关 键 词： | 期权定价 回望期权 交易成本 Ito公式 投资组合 |
| 文章编号： | 1007-3221(2006)03-0141-03 |
| 收稿时间： | 05 24 2005 12:00AM |
| 修稿时间： | 2005年5月24日 |
A Study on the Valuation of Lookback Options with Transaction Costs |
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| YUAN Guo-jun,DU Xue-qiao.A Study on the Valuation of Lookback Options with Transaction Costs[J].Operations Research and Management Science,2006,15(3):141-143. |
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| Authors: | YUAN Guo-jun DU Xue-qiao |
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| Institution: | School of Science, Hefei University of Technology, Hefei 230009, China |
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| Abstract: | Based upon underlying asset's geometric Brownian motion and hedging continuously,Black-Scholes model has solved European option pricing in efficient market successfully.However,there are a lot of transaction costs in real financial market.This paper mostly studies one of the valuations of lookback options with transaction costs in inefficient market,and derives the differential equation of the option pricing model by using Ito formula. |
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| Keywords: | option pricing lookback options transaction costs Ito formula portfolio |
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