有交易费的几何平均亚式期权的定价公式

华南理工大学学报(自然科学版) ›› 2004, Vol. 32 ›› Issue (5): 84-87.

有交易费的几何平均亚式期权的定价公式

曲军恒沈尧天姚仰新

华南理工大学应用数学系广东广州510640

收稿日期:2003-11-25 出版日期:2004-05-20 发布日期:2015-09-08
通信作者: 曲军恒（1977－）男主要从事期权定价与偏微分方程的研究． E-mail:ququ0315＠sina.com
作者简介:曲军恒（1977－）男主要从事期权定价与偏微分方程的研究．

Pricing Formula of Geometry Average Asian Option with Transaction Costs

Qu Jun-heng Shen Yao-tian Yao Yang-xin

Dept．of Applied MathematicsSouth China Univ．of Tech．Guangzhou510640GuangdongChina

Received:2003-11-25 Online:2004-05-20 Published:2015-09-08
Contact: 曲军恒（1977－）男主要从事期权定价与偏微分方程的研究． E-mail:ququ0315＠sina.com
About author:曲军恒（1977－）男主要从事期权定价与偏微分方程的研究．

摘要/Abstract

摘要： 以Black-Scholes 模型为基础通过对有固定敲定价格的亚式期权的研究结合有交易费的欧式期权的定价公式运用证券组合技术与无套利原理推出了有交易费的非线性期权定价模型．通过对方程的化简、分析在一定的条件下将非线性的期权定价模型化为Cauchy 问题进行求解并得出具体的有交易费的亚式期权定价公式．

关键词: 交易费, 亚式期权, 定价公式

Abstract: By studying the Asian option with fixed striking price and combining the pricing formula of the European op-tion with Transaction Coststhe securities combination technology and the nonarbitrage theory were applied to a nonlinear pricing model of the option with Transaction Costs．This model is based on the Black－Scholes model．By reducing and analyzing the equationthe nonlinear model was then transformed into Cauchy problem in certain conditionsthus a specific pricing formula of the Asian option with Transaction Costs was deduced．

Key words: Transaction Cost, sian option, pricing formula

中图分类号:

曲军恒沈尧天姚仰新. 有交易费的几何平均亚式期权的定价公式[J]. 华南理工大学学报(自然科学版), 2004, 32(5): 84-87.

Qu Jun-heng Shen Yao-tian Yao Yang-xin. Pricing Formula of Geometry Average Asian Option with Transaction Costs[J]. Journal of South China University of Technology(Natural Science Edition), 2004, 32(5): 84-87.