| CEV模型下有交易费用的彩虹期权定价模型的研究 |
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| 引用本文： | 陈刚,周玉昆.CEV模型下有交易费用的彩虹期权定价模型的研究[J].宿州学院学报,2008,23(4). |
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| 作者姓名： | 陈刚 周玉昆 |
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| 作者单位： | [1]亳州师范高等专科学校数理系; [2]安徽建筑工业学院数理系 |
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| 基金项目： | 亳州师范专科学资助项目
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| 摘 要： | 本文通过在对标准欧式二因素彩虹期权定价模型的研究,推导出CEV模型下彩虹期权定价公式,并进一步导出CEV模型下有交易费用的彩虹期权定价公式,并证明了该公式的合理性。
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| 关 键 词： | 彩虹期权 CEV模型 期权定价 交易费用 |
The Model of Rainbow Option Pricing with Transaction Costs under the CEV Process |
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| CHEN Gang,Yukun-zhou.The Model of Rainbow Option Pricing with Transaction Costs under the CEV Process[J].Journal of Shuzhou College,2008,23(4). |
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| Authors: | CHEN Gang Yukun-zhou |
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| Institution: | CHEN Gang; Yukun-zhou (1.Department of Mathematics Bo Zhou Teachers Colloge; Meng Cheng; 233500; 2.Department of Mathematics Anhui institute of architecture and industry; He Fei; 230022); |
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| Abstract: | In this paper,firstly,the conception of the CEV is introduced.Secondly,It is gained that is the formula of rainbow pricing under the CEV Process by studying the formula of rainbow pricing Under the geometry Brownian movement and the pricing formula is proved;At last,the model of Option Pricing with Transaction Costs under the CEV process is giving and the pricing formula is proved. |
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| Keywords: | Rainbow Option CEV Option Pricing Transaction Costs |
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