摘要
以B lack-Scho les模型为基础,通过对有固定敲定价格的亚式期权的研究,结合有交易费的欧式期权的定价公式,运用证券组合技术与无套利原理,推出有交易费的非线性期权定价模型。通过对方程的化简、分析,在一定的条件下将非线性的期权定价模型化为C auchy问题求解,得出具体的有交易费的亚式期权定价公式。
By studying Asian option with floating striking price, incorporating European option pricing formula with transaction costs, and using the security combination technology and nonarbitrage theory, this article, which is based on Black-Scholes model, deduces the nonlinear option pricing model with transaction costs. By analyzing these equations under certain conditions, transforming it into Cauchy problem, it deduces Asian option pricing formula with transaction costs.
出处
《佛山科学技术学院学报（自然科学版）》
CAS
2006年第2期36-39,共4页
Journal of Foshan University(Natural Science Edition)
关键词
交易费
亚式期权
定价公式
transaction cost
Asian option
pricing formula
