CEV下考虑突发事件影响的有交易费用的交换期权定价  

Exchange Option Pricing Based on Poisson Motion under Constant Elasticity of Variance with Transaction Costs

作　　者：干晓蓉[1] 于凤雪[2] 全志勇[2] 陈蔚[3] 

机构地区：[1]昆明理工大学城市学院,云南昆明650051 [2]湖南大学数学与计量经济学院,湖南长沙410082 [3]惠州市委党校,广东惠州516008

出　　处：《经济数学》2012年第4期56-59,共4页Journal of Quantitative Economics

基　　金：国家自然科学基金项目(71171077)

摘　　要：在股票价格满足CEV且受布朗运动和泊松过程共同驱动的模型下,对支付交易费用的交换期权定价进行研究,给出了期权价格满足的偏微分方程,并发现定价模型中股票价格的幂指数与波动率弹性α的选取有关,同时交易费用受泊松强度参数λ的影响,且随着λ的变大而变小.This paper studied the Exchange Option pricing with transaction costs, while the stock prices under stant Elasticity of Variance process are driven by Brownian motion and Poisson process. We give a partial differential equation with which option price is satisfied. It is found that power index of stock prices is relevant to the selection of volatility elasticity a in the pricing model. In addition,the Poisson intensity parameter a affects the transaction costs, which decrease with a larger parameter.

关 键 词：交换期权 CEV模型 布朗运动 泊松过程 交易费用 

分 类 号：F830.9[经济管理—金融学]