CEV过程下带交易费的多资产期权定价研究  

Study on the Multi-Asset Option Pricing with the Transaction Cost in the CEV Process

作　　者：李玉萍[1] 黎伟[1] 

机构地区：[1]中国矿业大学理学院,江苏徐州221116

出　　处：《贵阳学院学报（自然科学版）》2011年第2期22-24,共3页Journal of Guiyang University：Natural Sciences

摘　　要：多资产Black-Scholes模型成功解决了有效证券市场下的欧式期权定价问题。然而,在现实的证券市场中,股票波动率不是常数,同时投资者将面临数量可观、不容忽视的交易成本。本文在CEV过程下,利用证券组合和无套利原理,得出离散交易时间下带交易费的多资产期权定价模型。Black - Scholes model on the Multi - Asset has solved European option pricing in efficient market successfully. Nevertheless, stock volatility is not constant and the investors have to face a lot of transaction costs in real financial market. The multi - asset option pricing model with the transaction cost under discrete transaction time is derived by using the portfolio and non - arbitrage principle in the CEV process.

关 键 词：多资产期权 Black—Scholes模型 CEV过程 交易费 

分 类 号：F830.9[经济管理—金融学]