摘要
Black&Scholes和Merton的两篇开创性论文对完全市场下无摩擦的期权定价进行了研究,而不完全市场下的期权定价一直是学界和业界都很关注的问题。假定股票价格遵循CEV过程,研究存在比例交易成本时欧式看涨期权的定价,给出了在股价遵循CEV过程时有交易成本的期权价格的数值计算方法,并显示了数值结果。
The option pricing under complete market has been studied by two seminal papers of Black ＆ Scholes and Merton. The option pricing under incomplete market is always the focus of academic and practical fields. In this paper the pricing problem of European call is studied when there are proportional transaction costs. Suppose that stock price follows constant elasticity of variance（CEV） process, we present the numerical computing approach of option pricing with proportional transaction costs. And the result is illustrated.
出处
《南方经济》
北大核心
2007年第9期38-45,共8页
South China Journal of Economics
基金
教育部人文社科基地重大项目(05JJD790026)资助
关键词
CEV过程
交易成本
期权
效用无差异
CEV Process
Transaction Costs
Option
Utility Indifference
