摘要
在红利率、无风险利率、无跳跃发生时股票价格波动率均为时间的已知函数和证券市场存在交易成本的假设下,利用随机微分理论和无套利原理,推导出波动源模型的欧式期权定价方程及其定价公式,从而得出欧式看涨期权和看跌期权的定价公式.
By applying the stochastic differential theory and no-arbitrage theory, a European option pricing equation of the models of stock pricing fluctuation is obtained with the assumptions that dividend, the risk free rate,and the volatility without jumping are known functions and there exists transaction costs in the securities market. Thus, the pricing formulae for the European call and put options are obtained.
出处
《湖北工业大学学报》
2006年第6期46-50,共5页
Journal of Hubei University of Technology
关键词
波动源模型
期权定价
交易费用
the model of stock pricing fluctuation
option pricing
transaction costs
