华东师范大学学报(自然科学版) ›› 2012, Vol. 2012 ›› Issue (5): 85-92.

• 应用数学 • 上一篇    下一篇

次扩散BS模型下带交易费的期权定价

顾 惠1, 张云秀1,2   

  1. 1. 华东师范大学~~数学系, 上海 200241; 2. 南京林业大学~~应用数学系, 南京 210037
  • 收稿日期:2011-10-01 修回日期:2012-02-01 出版日期:2012-09-25 发布日期:2012-09-29

Pricing option with transaction costs under the subdiffusive Black-Scholes model

GU Hui 1, ZHANG Yun-xiu 1,2   

  1. 1. Department of Mathematics, East China Normal University, Shanghai 200241, China; 2. Department of Mathematics, Nanjing Forest University, Nanjing 210037, China
  • Received:2011-10-01 Revised:2012-02-01 Online:2012-09-25 Published:2012-09-29

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摘要： 研究次扩散\,BS\,模型下的离散带交易费的期权定价问题. 引入作为标的股票价格的次扩散几何布朗运动. 在存在交易费的情况下, 利用离散时间平均自融资\,delta\,对冲策略得到欧式看涨期权的定价公式.

关键词: 期权定价, 交易费, 次扩散动力学

Abstract: This paper dealt with the problem of discrete time option pricing by the subdiffusive Black-Scholes model with transaction costs. A subdiffusive geometric Brownian motion was introduced as the model of underlying asset prices exhibiting subdiffusive dynamics. In the presence of transaction costs, by a mean self-financing delta-hedging argument in a discrete time setting, a pricing formula for the European call option in discrete time
setting was obtained.

Key words: option pricing, transaction costs, subdiffusive dynamics

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