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CEV模型下有交易费用的彩虹期权定价模型的研究 被引量：1

The Model of Rainbow Option Pricing with Transaction Costs under the CEV Process
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摘要 本文通过在对标准欧式二因素彩虹期权定价模型的研究,推导出CEV模型下彩虹期权定价公式,并进一步导出CEV模型下有交易费用的彩虹期权定价公式,并证明了该公式的合理性。 In this paper,firstly,the conception of the CEV is introduced.Secondly,It is gained that is the formula of rainbow pricing under the CEV Process by studying the formula of rainbow pricing Under the geometry Brownian movement and the pricing formula is proved;At last,the model of Option Pricing with Transaction Costs under the CEV process is giving and the pricing formula is proved.
作者 陈刚 周玉昆
机构地区 亳州师范高等专科学校数理系 安徽建筑工业学院数理系
出处 《宿州学院学报》 2008年第4期36-38,共3页 Journal of Suzhou University
基金 亳州师范专科学资助项目<彩虹期权定价模型的研究>(编号:BSKY06004)。
关键词 彩虹期权 CEV模型 期权定价 交易费用 Rainbow Option CEV Option Pricing Transaction Costs
分类号 F830.91 [经济管理—金融学]
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共引文献26

同被引文献16

  • 1吴永红,蹇明,叶小青.有交易费和随机分红时的欧式期权定价[J].华中科技大学学报（自然科学版）,2005,33(6):123-124. 被引量：3
  • 2秦洪元,郑振龙.CEV模型下有交易成本的期权定价[J].南方经济,2007,36(9):38-45. 被引量：4
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引证文献1

宿州学院学报
2008年 第4期

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