摘要
Black-Scholes模型成功解决了完全市场下的欧式期权定价问题.研究在不完全市场下的一类期权定价问题,即在假设交易过程有交易成本且标的资产价格服从跳-扩散过程下,推导出了在该模型下期权价格所满足的微分方程.
Black-Scholes model has solved European option pricing in efficient market successfully. However, this paper studies option pricing model in an inefficient market, that is, with the assumptions that the underlying asset pricing is a jump-diffusion process and there is transaction cost in the transaction, we obtain the differential equation of the option pricing model.
出处
《数学的实践与认识》
CSCD
北大核心
2007年第21期11-16,共6页
Mathematics in Practice and Theory
基金
安徽省高校青年教师资助项目(2007jql177)
