CEV模型下有交易成本的期权定价  

Option Pricing with Transaction Costs under CEV Model

作　　者：秦洪元[1] 郑振龙[1] 

机构地区：[1]厦门大学金融系

出　　处：《南方经济》2007年第9期38-45,共8页South China Journal of Economics

基　　金：教育部人文社科基地重大项目(05JJD790026)资助

摘　　要：Black&Scholes和Merton的两篇开创性论文对完全市场下无摩擦的期权定价进行了研究,而不完全市场下的期权定价一直是学界和业界都很关注的问题。假定股票价格遵循CEV过程,研究存在比例交易成本时欧式看涨期权的定价,给出了在股价遵循CEV过程时有交易成本的期权价格的数值计算方法,并显示了数值结果。The option pricing under complete market has been studied by two seminal papers of Black ＆ Scholes and Merton. The option pricing under incomplete market is always the focus of academic and practical fields. In this paper the pricing problem of European call is studied when there are proportional transaction costs. Suppose that stock price follows constant elasticity of variance（CEV） process, we present the numerical computing approach of option pricing with proportional transaction costs. And the result is illustrated.

关 键 词：CEV过程 交易成本 期权 效用无差异 

分 类 号：F830.91[经济管理—金融学]