| 跳-扩散价格过程下有交易成本的期权定价研究 |
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| 引用本文： | 袁国军,杜雪樵.跳-扩散价格过程下有交易成本的期权定价研究[J].数学的实践与认识,2007,37(21):11-16. |
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| 作者姓名： | 袁国军 杜雪樵 |
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| 作者单位： | 1. 皖西学院,数理系,安徽,六安,237012
2. 合肥工业大学,理学院,安徽,合肥,230009 |
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| 基金项目： | 安徽省高校青年教师资助项目 |
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| 摘 要： | Black-Scholes模型成功解决了完全市场下的欧式期权定价问题.研究在不完全市场下的一类期权定价问题,即在假设交易过程有交易成本且标的资产价格服从跳-扩散过程下,推导出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： | Black-Scholes模型 期权定价 交易成本 跳-扩散过程 |
| 修稿时间： | 2006年10月21 |
A Study on Option Pricing with Transaction Cost When Underlying Asset Pricing Is a Jump-diffusion Process |
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| YUAN Guo-jun,DU Xue-qiao.A Study on Option Pricing with Transaction Cost When Underlying Asset Pricing Is a Jump-diffusion Process[J].Mathematics in Practice and Theory,2007,37(21):11-16. |
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| Authors: | YUAN Guo-jun DU Xue-qiao |
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| Abstract: | Black-Scholes model has solved European option pricing in efficient market successfully.However,this paper studies option pricing model in an inefficient market,that is,with the assumptions that the underlying asset pricing is a jump-diffusion process and there is transaction cost in the transaction,we obtain the differential equation of the option pricing model. |
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| Keywords: | Black-Scholes model option pricing transaction cost jump-diffusion process |
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