带交易费和时间依赖型的波动率弹性为常数的期权定价模型(英文)

Constant Elasticity Option Pricing Model of Having Transaction Costs and Time-dependent

提出了一种基于Lie-代数法和Wei～Norman定理的带交易费和时间依赖型波动率弹性为常数(CEV)的期权定价模型,通过不同的弹性系数得到了CEV期权定价模型的解析解,并且我们发现,当模型不依赖时间时,该解析解的形式是相同的.另外,李代数方法较容易对代数结构较好的其他的期权进行定价.例如:带有交易费的单壁垒CEV期权的定价估计.

This paper provides a method for the constant elasticity of variance （CEV） option pricing model with transaction costs using the Lie algebraic technique and Wei-Norman Theorem when the model parameters are time-dependent. Analytical solutions for the CEV option values incorporating time dependent model parameters and transaction costs are obtained in various CEV processes with different elasticity factors. It was found that it has the same form as the time-independent case. Furthermore, the Lie algebraic approach is very simple and can be easily extended to other option pricing models with well defined algebraic structures, for example： Valuation of single- barrier CEV options with transaction costs.