有交易成本且标的资产在布朗运动和泊松运动共同作用下的欧式期权定价

European Option Pricing about Underlying Asset Driven by Brownian Motion and Poisson Motion with Transaction Costs

基于标的资产在布朗运动和泊松运动共同作用的假设下,在存在交易费用的实际金融市场中,利用Ito公式,保值策略,得出了该形式下的欧式期权定价模型。并利用随机微分方程的有关知识给出了模型的求解。

In this paper, based on the assumption of underlying asset ＇ s Brownian motion and poisson motion,in the real financial market with transaction costs, the model of European option pricing is obtained by using ho formula and hedging strategy. And the solution of the model is given out by using some knowledge of stochastic differential equation.