有交易成本和红利的标的资产服从混合过程的期权定价

Option Pricing about Underlying Asset′s Mixed Process with Transaction Costs and Dividends

在考虑交易成本和红利的基础上,改变Bkacj-Scholes期权定价模型的基本假设,研究了标的资产服从混合过程的欧式期权定价模型;根据保值调整策略和无套利原理,运用证券组合模拟期权收益的方法得到了有交易成本和红利的标的资产服从混合过程的期权价格所满足的微分方程;最后利用线性偏微分方程的求解方法,给出了此类期权的解析解.结论拓广了已有研究成果,模型也更符合实际金融环境,因而具有一定的理论意义与应用价值.

On the definition of considering transaction costs and dividends, by changing basic assumption of Bkacj-Scholes option pricing model, the European option pricing model about underlying asset＇s mixed process is studied. According to maintain value adjustment strategy and no-arbitrage principle, using the way of portfolio simulation options income, the differential equation of option price about underlying asset＇s mixed process with transaction costs and dividends is obtained. At last, using the solving method of linear partial differential equations, the analytical solution of such option is given. The conclusions of this paper extend the existing re- search results, and the model is more accord with the actual financial environment. Thus, they have certain theoretical significance and application value.