CEV和B&P作用下带交易费的亚式期权定价模型  

Asian Option Pricing under CEV Model and B&P Process with Transaction Costs

作　　者：乔克林[1] 任芳玲[1] 

机构地区：[1]延安大学数学与计算机科学学院,陕西延安716000

出　　处：《经济数学》2011年第3期77-81,共5页Journal of Quantitative Economics

基　　金：陕西省教育厅自然科学基金(2010JK914);延安大学教改项目(YDJG10-02)

摘　　要：基于B-S定价模型的基础,利用Ito公式及保值策略,研究了股票价格服从CEV模型和B&P过程且存在交易费用的亚式期权的定价模型.得出了该类期权价格所满足的微分方程,并对模型做了数值分析.结论拓宽了亚式期权的研究范围,更适用于实际金融市场.On the basis of B-S pricing model, and by using It6 formula and hedging strategy, we studied the pricing model of Asian option with transaction costs when stoek price obeys CEV model and B＆P process. The differential equation of this kind of option price was obtained, and the numerical analysis was given for this model. So the conelusions broaden the re- search scope of Asian option, and are more suitable for the actual financial market.

关 键 词：亚式期权 交易费用 CEV模型 B&P过程 数值分析 

分 类 号：F830.9[经济管理—金融学]