分数跳-扩散模型下具有交易费用的回望期权定价研究  

Study of Pricing Lookback Options in the Fractional Jump-diffusion Model with Transaction Cost

作　　者：王伟伟[1] 韩松[1] 

机构地区：[1]南京财经大学应用数学学院,江苏南京210046

出　　处：《淮北师范大学学报（自然科学版）》2016年第1期4-8,共5页Journal of Huaibei Normal University：Natural Sciences

基　　金：国家自然科学基金资助项目(11071109)

摘　　要：B-S模型成功解决了完全市场下欧式期权的定价问题.文章主要研究不完全市场下标的资产股票价格服从分数跳-扩散过程且具有交易费用的回望期权定价问题.利用无套利原理和证券组合技术,建立回望期权定价模型,并依此模型给出分数跳-扩散过程下具有交易费用的回望期权定价公式,推广已有的回望期权定价理论.The Black-Scholes model has solved European option pricing in the efficient market successfully.This paper mainly studies the pricing of lookback options with transaction cost in the fractional jump-diffusion process under an inefficient market.Applying no-arbitrage principle and the securities combination technology,we can establish options pricing model.And the pricing formulas for lookback options in the fractional jump-diffusion model with transaction cost are obtained through the model.The results in this paper extend and improve previously known results.

关 键 词：回望期权 分数跳-扩散模型 交易费用 

分 类 号：O21[理学—概率论与数理统计]