摘要
本文在标的资产价格服从几何分数次布朗运动假设下,在无风险利率和红利率分别为常数和时间的非随机函数的条件下讨论了有交易成本的上限型买权的定价问题.
Under the hypothesis that stock price submit to Geomtric Fractional Brownian Motion, we obtain the price of Capped Call with transaction cost respectively when the riskless interest rate and the dividend rate of the stock are constants or nonrandom functions of the time t.
出处
《经济数学》
2006年第2期140-145,共6页
Journal of Quantitative Economics
关键词
分数次布朗运动
交易成本
上限型买权
红利
fractional brownian motion, transaction cost, capped calls, dividend.
