有交易成本的期权定价研究

A Study on Option Pricing with Transaction Costs

Black Scholes模型成功解决了有效证券市场下的欧式期权定价问题。然而 ,在现实的证券市场中 ,投资者将面临数量可观、不容忽视的交易成本。本文在界定交易成本的基础上 ,用证券组合模拟期权收益来构造有交易成本的欧式期权定价基本方程 ,并利用二项式定价模型予以验证 ,两者所得结论完全一致。

Black Scholes model has solved European option pricing in efficient market successfully. Nevertheless,the investors have to face a lot of transaction costs in real financial market. On the definition of transaction costs,this paper gives basic option pricing equations with transaction costs replicating the payoff of option by portfolio. The conclusion is confirmed by binomial model also.