支付交易费的回望期权定价  

PRICING FORMULAE OF LOOKBACK OPTIONS WITH TRANSACTION COSTS

作　　者：钱丽丽[1] 柴俊[2] 

机构地区：[1]上海外国语大学贤达经济人文学院,上海200083 [2]华东师范大学教学系,上海200062

出　　处：《经济数学》2008年第2期143-147,共5页Journal of Quantitative Economics

摘　　要：以Black-Scholes模型为基础,通过对回望期权的研究,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,建立了支付交易费的回望期权定价模型.通过对方程化简和分析,运到PDE相关方法化为Cauchy问题,得出定价公式.Studying the lookbaek option and combining the pricing formulae of the European option with transaction costs, we make the pricing model of lookback option with transaction costs by the way of the securities combination technology and the nonarbitrage theory. The model was based on the Black-Scholes model. Through simplifying and analyzing as well as with certain methods of PDE, the model was transformed into a Cauchy problem. Thus a specific pricing formulae was deduced.

关 键 词：交易费 回望期权 看跌期权 定价公式 

分 类 号：F830.9[经济管理—金融学] O212.6[理学—概率论与数理统计]