CEV模型下有交易成本和随机波动率的亚式期权定价问题的文献综述

Literature review of with transaction costs and stochastic volatility's Asian option pricing problem under CEV mode

随着金融衍生品的发展,对其进行定价成为理论和实务操作中的重点。亚式期权作为一种强依赖路径的衍生品,在金融市场中有套期保值作用,在管理中有经理股票期权激励作用。因此,设计出更加切合市场实际的定价模型非常重要。本文选取了相比较B-S模型更加实际的CEV模型作为标底资产的路径过程,加入随机波波动率服从有限Markov链的情况下有交易成本的亚式期权定价公式。在已有的相关文献参考下,可以得出其偏微分方程。并且通过二叉树算法,实现定价计算。

Along with the development of financial derivatives, value pricing become the key either in theoretical or in practical operation. Asian options are strong path -dependence derivatives in financial markets, and have huge potential development in the hedging function and management of the executive stock option incentive mechanism. Thus more tailored application to the actual market of pricing model is very important, In this paper, we select CEV model which is more practical compared to B-Smodel as the base price assets. We analyses Asian option pricing formula with volatility following the Markov chain in limited situation with transaction cost. In the existing literature, we may conclude the partial differential equations. And through the binary tree algorithm, realize its pricing results.