基于CEV过程带交易费的脆弱期权定价的数值算法

The Numerical Algorithm for Vulnerable Options Pricing with Transaction Costs Based on CEV Process

主要研究基于CEV过程且支付交易费的脆弱期权定价的数值计算问题.首先通过构造无风险投资组合,导出了基于CEV过程且支付交易费用的脆弱期权定价的偏微分方程模型;其次应用有限差分方法将定价模型离散化,并设计数值算法;最后以看跌期权为例进行数值试验,分析各定价参数对看跌期权价值的影响.

This paper mainly studies the numerical calculation of vulnerable option pricing based on the constant elasticity of variance(CEV)process with transaction costs.First,by constructing a risk-free portfolio,a partial differential equation model of vulnerable option pricing for paying transaction costs under the CEV process is derived.Then,the finite difference method is used to discretize the pricing model,and a numerical algorithm is designed.Finally,by using a put option as an example,we conduct a numerical experiment to analyze the impact of various pricing parameters on the value of the put option.