摘要
本文利用期权复制、无套利对冲原理、计价单位转换、随机微分方程等工具,对具有交易费用的双币种期权的定价进行了探讨。得到了支付交易费用的双币种期权所满足的偏微分方程和定价公式。
This paper investigates the pricing of the quanto options with transaction costs by using option replicating principle, no-arbitrage hedge theory, change of numeraire, stochastic differential equations and other tools. Then I have concluded the partial differential equation and the pricing formula of the quanto options with transaction costs.
出处
《科技视界》
2013年第24期148-148,143,共2页
Science & Technology Vision
