有交易成本的回望期权定价模型的数值解  

Numerical solution for one of the pricing models of the lookback options with transaction costs

作　　者：袁国军[1] 赵建中[1] 

机构地区：[1]皖西学院数理系,安徽六安237012

出　　处：《合肥工业大学学报（自然科学版）》2008年第11期1813-1816,共4页Journal of Hefei University of Technology：Natural Science

基　　金：安徽省高校青年教师科研计划资助项目(2007jql177);安徽省教育厅自然基金资助项目(KJ2007B181)

摘　　要：Black-Scholes模型成功解决了完全市场下的欧式期权定价问题。文章主要研究了一类有交易成本的回望期权的定价问题,利用Ito公式,得到了在该模型下期权价格所满足的微分方程,最后由有限差分方法,得到了该微分方程的数值解,并且通过实例验证了该数值解的有效性。The Black-Scholes model has solved European option pricing in the efficient market successfully. This paper studies the valuation of lookback options with transaction costs and derives the differential equation of the option pricing model by using the Ito formula. The numerical solution of the differential equation is obtained by the finite difference method, and the validity of the numerical solution is proved by the numerical examples.

关 键 词：期权定价 回望期权 交易成本 有限差分 

分 类 号：F830.9[经济管理—金融学]