次扩散BS模型下带交易费的期权定价(英文)  

Pricing option with transaction costs under the subdiffusive Black-Scholes model

作　　者：顾惠[1] 张云秀[1,2] 

机构地区：[1]华东师范大学数学系,上海200241 [2]南京林业大学应用数学系,南京210037

出　　处：《华东师范大学学报（自然科学版）》2012年第5期85-92,共8页Journal of East China Normal University(Natural Science)

基　　金：上海市自然科学基金(11ZR1410300);南京林业大学科技创新基金(163101043)

摘　　要：研究次扩散BS模型下的离散带交易费的期权定价问题.引入作为标的股票价格的次扩散几何布朗运动.在存在交易费的情况下,利用离散时间平均自融资delta对冲策略得到欧式看涨期权的定价公式.This paper dealt with the problem of discrete time option pricing by the sub- diffusive Black-Scholes model with transaction costs. A subdiffusive geometric Brownian motion was introduced as the model of underlying asset prices exhibiting subdiffusive dy- namics. In the presence of transaction costs, by a mean self-financing delta-hedging argu- ment in a discrete time setting, a pricing formula for the European call option in discrete time setting was obtained.

关 键 词：期权定价 交易费 次扩散动力学 

分 类 号：O211.6[理学—概率论与数理统计]