带交易费的亚式期权定价研究和数值分析

Asian Option Pricing with Transaction Costs and Its Numerical Analysis

在Leland带交易费的期权定价模型的基础上,对亚式期权定价模型中的期权规避策略进行了优化,提出用修正的Leland规避策略构造亚式期权的复制策略,并推导出了在修正的规避策略下带交易费的定价模型.对修正的规避策略与Leland规避策略进行了比较,结果表明,在不同的调整时间间隔下,本文所用的修正的规避策略都优于Leland规避策略.

This paper optimizes the option avoidance strategy in Asian option pricing modelbased on Leland′s option pricing model with transaction cost.We propose to use the improved Leland hedging strategy to construct the replication strategy of Asian options,and derive the pricing model with transaction costs under the improved hedging strategy.The results show that the improved hedgingstrategy is better than Leland′s strategy in different adjustment time interval.