次扩散BS模型下带交易费的期权定价

顾惠; 张云秀

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次扩散BS模型下带交易费的期权定价

顾惠¹,
张云秀^1,2

1.
华东师范大学~~数学系, 上海 200241;
2.
南京林业大学~~应用数学系, 南京 210037

详细信息

中图分类号: O211.6
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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

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

GU Hui¹,
ZHANG Yun-xiu^1,2

1.
Department of Mathematics, East China Normal University, Shanghai 200241, China;
2.
Department of Mathematics, Nanjing Forest University, Nanjing 210037, China

摘要

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.
- 期权定价 /
- 交易费 /
- 次扩散动力学
Abstract: This paper dealt with the problem of discrete time option pricing by the subdiffusive Black-Scholes model with transaction costs. A subdiffusive geometric Brownian motion was introduced as the model of underlying asset prices exhibiting subdiffusive dynamics. In the presence of transaction costs, by a mean self-financing delta-hedging argument in a discrete time setting, a pricing formula for the European call option in discrete time setting was obtained.
- option pricing /
- transaction costs /
- subdiffusive dynamics

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参考文献(1)

[1]

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文章访问数: 2302
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次扩散BS模型下带交易费的期权定价

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

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