有交易成本的期权定价研究

A Study of Option Pricing with Transaction Costs

基于股票价格的对数正态分布假设 ,Black -Scholes模型运用连续交易保值策略成功解决了有效证券市场中的欧式期权定价问题。然而 ,在非有效市场中 ,投资者将面临数量可观、不容忽视的交易成本。本文在界定交易成本的基础上 ,建立了离散交易时间条件下的非线性期权定价模型[1]。

Based upon underlying asset's lognormal distribution and hedging continuously,Black-Scholes model has solved European option's pricing in efficient market successfully. Nevertheless,the investors in real financial market have to face a lot of transaction costs. On the definition of transaction costs, nonlinear option pricing model is presented under the condition of discrete trading times. The long pricing of European option and the short pricing of that are discussed also.\;