| 基于CEV过程带交易费的脆弱期权定价的数值算法 |
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| 引用本文： | 王越,周圣武.基于CEV过程带交易费的脆弱期权定价的数值算法[J].大学数学,2021,37(1):10-17. |
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| 作者姓名： | 王越 周圣武 |
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| 作者单位： | 中国矿业大学 数学学院,江苏 徐州 221000;中国矿业大学 数学学院,江苏 徐州 221000 |
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| 摘 要： | 主要研究基于CEV过程且支付交易费的脆弱期权定价的数值计算问题.首先通过构造无风险投资组合,导出了基于CEV过程且支付交易费用的脆弱期权定价的偏微分方程模型;其次应用有限差分方法将定价模型离散化,并设计数值算法;最后以看跌期权为例进行数值试验,分析各定价参数对看跌期权价值的影响.
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| 关 键 词： | 期权定价 脆弱期权 CEV模型 交易费用 |
The Numerical Algorithm for Vulnerable Options Pricing with Transaction Costs Based on CEV Process |
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| WANG Yue,ZHOU Sheng-wu.The Numerical Algorithm for Vulnerable Options Pricing with Transaction Costs Based on CEV Process[J].College Mathematics,2021,37(1):10-17. |
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| Authors: | WANG Yue ZHOU Sheng-wu |
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| Affiliation: | (Institute of Mathematics, China University of Mining and Technology, Xuzhou Jiangsu 221000, China) |
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| Abstract: | This paper mainly studies the numerical calculation of vulnerable option pricing based on the constant elasticity of variance(CEV)process with transaction costs.First,by constructing a risk-free portfolio,a partial differential equation model of vulnerable option pricing for paying transaction costs under the CEV process is derived.Then,the finite difference method is used to discretize the pricing model,and a numerical algorithm is designed.Finally,by using a put option as an example,we conduct a numerical experiment to analyze the impact of various pricing parameters on the value of the put option. |
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| Keywords: | option pricing vulnerable options CEV model transaction cost |
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