| 有交易费用的股价波动源模型期权定价 |
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| 引用本文： | 窦建君,毛明志. 有交易费用的股价波动源模型期权定价[J]. 湖北工业大学学报, 2006, 21(6): 46-50 |
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| 作者姓名： | 窦建君 毛明志 |
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| 作者单位： | 1. 上海交通大学数学系,上海,200240
2. 中国地质大学数理学院,湖北,武汉,430074 |
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| 摘 要： | 在红利率、无风险利率、无跳跃发生时股票价格波动率均为时间的已知函数和证券市场存在交易成本的假设下,利用随机微分理论和无套利原理,推导出波动源模型的欧式期权定价方程及其定价公式,从而得出欧式看涨期权和看跌期权的定价公式.
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| 关 键 词： | 波动源模型 期权定价 交易费用 |
| 文章编号： | 1003-4684（2006）12-0046-05 |
| 收稿时间： | 2006-11-22 |
| 修稿时间： | 2006-11-22 |
Option Pricing of the Models of Stock Pricing Fluctuation with Transaction Costs |
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| DOU Xia-jun,MAO Ming-zhi. Option Pricing of the Models of Stock Pricing Fluctuation with Transaction Costs[J]. Journal of Hubei University of Technology, 2006, 21(6): 46-50 |
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| Authors: | DOU Xia-jun MAO Ming-zhi |
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| Affiliation: | 1 Dep. of Mathematics,Shanghai Jiaotong Univ. , Shanghai 200240,China; 2 School of Mathematics and Physics ,China Univ. of Geosciences ,Wuhan 430074,China |
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| Abstract: | By applying the stochastic differential theory and no-arbitrage theory,a European option pricing equation of the models of stock pricing fluctuation is obtained with the assumptions that dividend,the risk free rate,and the volatility without jumping are known functions and there exists transaction costs in the securities market.Thus,the pricing formulae for the European call and put options are obtained. |
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| Keywords: | the model of stock pricing fluctuation option pricing transaction costs |
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