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次扩散BS模型下带交易费的期权定价

顾惠 张云秀

顾惠, 张云秀. 次扩散BS模型下带交易费的期权定价[J]. 华东师范大学学报(自然科学版), 2012, (5): 85-92.
引用本文: 顾惠, 张云秀. 次扩散BS模型下带交易费的期权定价[J]. 华东师范大学学报(自然科学版), 2012, (5): 85-92.
GU Hui, ZHANG Yun-xiu. Pricing option with transaction costs under the subdiffusive Black-Scholes model[J]. Journal of East China Normal University (Natural Sciences), 2012, (5): 85-92.
Citation: GU Hui, ZHANG Yun-xiu. Pricing option with transaction costs under the subdiffusive Black-Scholes model[J]. Journal of East China Normal University (Natural Sciences), 2012, (5): 85-92.

次扩散BS模型下带交易费的期权定价

详细信息
  • 中图分类号: O211.6

Pricing option with transaction costs under the subdiffusive Black-Scholes model

  • 摘要: 研究次扩散\,BS\,模型下的离散带交易费的期权定价问题. 引入作为标的股票价格的次扩散几何布朗运动. 在存在交易费的情况下, 利用离散时间平均自融资\,delta\,对冲策略得到欧式看涨期权的定价公式.
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出版历程
  • 收稿日期:  2011-10-01
  • 修回日期:  2012-02-01
  • 刊出日期:  2012-09-25

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