摘要
在股票价格满足CEV且受布朗运动和泊松过程共同驱动的模型下,对支付交易费用的交换期权定价进行研究,给出了期权价格满足的偏微分方程,并发现定价模型中股票价格的幂指数与波动率弹性α的选取有关,同时交易费用受泊松强度参数λ的影响,且随着λ的变大而变小.
This paper studied the Exchange Option pricing with transaction costs, while the stock prices under stant Elasticity of Variance process are driven by Brownian motion and Poisson process. We give a partial differential equation with which option price is satisfied. It is found that power index of stock prices is relevant to the selection of volatility elasticity a in the pricing model. In addition,the Poisson intensity parameter a affects the transaction costs, which decrease with a larger parameter.
出处
《经济数学》
2012年第4期56-59,共4页
Journal of Quantitative Economics
基金
国家自然科学基金项目(71171077)
关键词
交换期权
CEV模型
布朗运动
泊松过程
交易费用
exchange option
constant elasticity of variance
Brownian motion
Poisson motion
transaction Costs
作者简介
干晓蓉（1962），女，云南昆明人，教授，硕士Email：yumeng183@126．com
