摘要
基于股票价格的对数正态分布假设 ,Black- Scholes模型运用连续交易保值策略成功解决有效证券市场中的欧式期权定价问题。然而 ,在非有效市场中 ,投资者将面临数量可观、不容忽视的交易成本。本文在界定交易成本的基础上 ,建立了离散交易时间条件下的非线性期权定价模型 ,并分别讨论了有交易成本的欧式期权多头与空头的定价方法。
Based upon underlying asset's lognormal distribution and hedging continuously,Black Scholes model has solved European option's pricing in efficient market successfully.Nevertheless,the investors in real financial market have to face a lot of transaction costs.On the definition of transaction costs,nonlinear option pricing model is presented under the condition of discrete trading times.The long pricing of European option and the short pricing of that are discussed also.
出处
《系统工程》
CSCD
2000年第5期13-16,22,共5页
Systems Engineering
基金
国家自然科学基金 !(796 70 0 76 )
关键词
交易成本
证券组合
股票价格
期权
定价模型
Transaction costs,Black Scholes model,Portfolio,Non arbitrary theorem
