CEV下有交易费用的回望期权的定价研究

Study on Pricing European Lookback Option with Transaction Cost under the CEV Process

本文在研究服从CEV过程且无交易费用的回望期权定价模型的基础上,推导出CEV下有交易费用的回望期权定价模型,并利用变量转换和二叉树方法求解,最终给出了CEV下有交易费用的回望期权的近似解。

Based on model of pricing European lookback option without transaction cost under tne CEV Process, this paper infers out the model of pricing European lookback option with transaction cost under the CEV Process, and gives its approximate solution by using variable substitution method and binomial tree method.