基于Lie代数解法的时间依赖型期权模型  

Time-dependent option pricing model based on the Lie Algebra

作　　者：曲军恒[1] 沈尧天[2] 姚仰新[2] 

机构地区：[1]佛山科学技术学院信息科学与数学系,广东佛山528000 [2]华南理工大学数学科学院,广东广州510640

出　　处：《佛山科学技术学院学报（自然科学版）》2005年第4期5-9,共5页Journal of Foshan University(Natural Science Edition)

摘　　要：以Fokker-P lanck方程和L ie代数为基础,通过对时间依赖型期权定价模型的研究,结合有交易费的欧式期权的定价公式,运用证券组合技术与无套利原理,推导出时间依赖型有交易费的期权定价模型。通过对方程的化简、分析,在一定的条件下将非线性的期权定价模型化为线性的Fokker-P lanck方程的类型进行求解,并得出具体的有交易费的时间依赖型期权定价公式。By studying the time-dependent fixed striking price and combining the pricing formula of European Option with transaction costs,the securities combination technology and the nonarbitrage theory are applied to a pricing model of the option with Transaction costs. This model is based on the Fokker-Planck equation, the nonlinear model is transformed into linear Fokker-Planck equation in certain conditions, thus a specific pricing formula of the time-dependent option with transaction costs is deduced.

关 键 词：交易费 Fokker—Planck方程 LIE代数 

分 类 号：O175.26[理学—数学] O152.5[理学—基础数学]