带交易费的亚式期权定价研究和数值分析  

Asian Option Pricing with Transaction Costs and Its Numerical Analysis

作　　者：王世琳 王晓天 WANG Shilin;WANG Xiaotian(School of Mathematics,South China University of Technology,Guangzhou,Guangdong 510641,China)

机构地区：[1]华南理工大学数学学院,广东广州510641

出　　处：《数学建模及其应用》2020年第4期57-65,共9页Mathematical Modeling and Its Applications

基　　金：国家自然科学基金(11071082,11271140)。

摘　　要：在Leland带交易费的期权定价模型的基础上,对亚式期权定价模型中的期权规避策略进行了优化,提出用修正的Leland规避策略构造亚式期权的复制策略,并推导出了在修正的规避策略下带交易费的定价模型.对修正的规避策略与Leland规避策略进行了比较,结果表明,在不同的调整时间间隔下,本文所用的修正的规避策略都优于Leland规避策略.This paper optimizes the option avoidance strategy in Asian option pricing modelbased on Leland′s option pricing model with transaction cost.We propose to use the improved Leland hedging strategy to construct the replication strategy of Asian options,and derive the pricing model with transaction costs under the improved hedging strategy.The results show that the improved hedgingstrategy is better than Leland′s strategy in different adjustment time interval.

关 键 词：亚式期权 期权定价 交易费 Delta对冲 规避策略 

分 类 号：O29[理学—应用数学]