摘要
将B-S模型推广到有交易成本的两值期权的定价模型.利用离散模型和无套利原理,推导出在比例交易成本下两值期权的多头和空头定价方程,并由此求出了两值期权多头定价公式.证明了CONC和AONC期权价值关系式,也推出多头看涨、多头看跌CONC期权之间的平价公式.
The B- S model is extended to a binary option pricing model with transaction costs. Using scattered model and no straddle theory, two pricing equations of call binary option and put binary option with transaction costs are deduced, and a pricing formula of call binary option with transaction costs is obtained. The relations between CONC price and AONC price are proved, and the fair price formula of call CONC and put CONC is presented.
出处
《上海师范大学学报（自然科学版）》
2009年第6期588-593,共6页
Journal of Shanghai Normal University(Natural Sciences)
基金
国家教育部
财政部基金项目(LB2D041-16)
关键词
交易成本
两值期权
期权定价
transaction costs
binary option
option pricing
