CEV模型下有交易费用的彩虹期权定价模型的研究  

The Model of Rainbow Option Pricing with Transaction Costs under the CEV Process

作　　者：陈刚[1] 周玉昆[2] 

机构地区：[1]亳州师范高等专科学校数理系,安徽蒙城233500 [2]安徽建筑工业学院数理系,安徽合肥230022

出　　处：《宿州学院学报》2008年第4期36-38,共3页Journal of Suzhou University

基　　金：亳州师范专科学资助项目<彩虹期权定价模型的研究>(编号:BSKY06004)。

摘　　要：本文通过在对标准欧式二因素彩虹期权定价模型的研究,推导出CEV模型下彩虹期权定价公式,并进一步导出CEV模型下有交易费用的彩虹期权定价公式,并证明了该公式的合理性。In this paper,firstly,the conception of the CEV is introduced.Secondly,It is gained that is the formula of rainbow pricing under the CEV Process by studying the formula of rainbow pricing Under the geometry Brownian movement and the pricing formula is proved;At last,the model of Option Pricing with Transaction Costs under the CEV process is giving and the pricing formula is proved.

关 键 词：彩虹期权 CEV模型 期权定价 交易费用 

分 类 号：F830.91[经济管理—金融学]