摘要
研究了次扩散过程驱动下带有交易成本的Merton期权定价模型.得到了此模型下欧式看涨期权所满足的Black-Scholes方程,并给出了欧式看涨期权的定价公式.
In this paper,the Merton model of option pricing with transaction costs in subdil- fusive regime is studied.The Black-Scholes equation which European call options satisfy is derived. Moreover,the explicit formula for european call option is given.
出处
《南华大学学报（自然科学版）》
2017年第2期38-41,共4页
Journal of University of South China：Science and Technology
基金
安徽省教育厅自然科学基金项目(AQKJ2015B011
KJ2016A428)
关键词
次扩散过程
交易成本
期权定价
subdiffusive process
transaction costs
option pricing
