摘要
通过在对标准欧式期权和彩虹期权定价模型的研究,推导出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;随后又运用了二叉树方法求出其近似解.
In the paper, firstly, the pricing model of Black - Scholes option and rainbow option are introduced; secondly, it is gained that is rainbow option pricing model with Transaction Costs, then, the pricing formula is proved. At last,its approximate solution is seeked by the binomial tree.
出处
《合肥学院学报（自然科学版）》
2006年第4期34-36,69,共4页
Journal of Hefei University :Natural Sciences
关键词
彩虹期权
期权定价模型
二叉树
rainbow option
option pricing model
binomial tree
