带交易费的多资产期权定价模型及数值解法  

Multi-asset option pricing model and numerical method with transaction costs

作　　者：黎伟[1] 周圣武[1] 

机构地区：[1]中国矿业大学理学院,江苏徐州221116

出　　处：《徐州师范大学学报（自然科学版）》2011年第2期53-56,共4页Journal of Xuzhou Normal University(Natural Science Edition)

基　　金：中央高校基本科研业务费专项资金资助项目(2010LKSX03)

摘　　要：研究了考虑交易成本的多资产期权定价问题.首先运用证券组合技术和无套利原理将Hoggard-Whalley-Wil-mott模型推广为多资产的情形;而后以极大期权为例,运用变量替换对模型进行简化,构建出该模型的一种显式差分格式;最后通过数值算例验证该格式的稳定性与收敛性,同时讨论了初始价格及交易费系数对期权价格的影响.The multi-asset option pricing problem with transaction costs is studied.First of all,the Hoggard-Whalley-Wilmott model is extended to the case of multi-asset by portfolio and no-arbitrage principle;then taking the maximum option for example,the model is simplified by using variable substitution and an explicit difference scheme is proposed;finally,the stability and convergence are showed in a numerical example,and the influence of transaction costs coefficient and initial price on the option value is disscussed.

关 键 词：多资产期权 交易费 无套利原理 显式差分格式 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]