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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 on the lognormal distribution of stock prices, the Black-Scholes model uses the continuous trading hedging strategy to successfully solve the European option pricing problem in the effective stock market. However, in the non-effective market, investors will face a considerable amount of transaction costs that can not be ignored. Based on the definition of transaction costs, this paper establishes the nonlinear option pricing model under the condition of discrete transaction time, and separately discusses the pricing methods of long and short European option with transaction costs.