| 郭志东.次扩散机制下带有交易成本的Merton期权定价模型[J].南华大学学报(自然科学版),2017,31(2):38~41.[GUO Zhi-dong.Pricing Options Under Merton Model with TransactionCosts in Subdiffusive Regime[J].Journal of University of South China(Science and Technology),2017,31(2):38~41.] |
| 次扩散机制下带有交易成本的Merton期权定价模型 |
| Pricing Options Under Merton Model with TransactionCosts in Subdiffusive Regime |
| 投稿时间：2017-01-08 |
| DOI： |
| 中文关键词: 次扩散过程 交易成本 期权定价 |
| 英文关键词:subdiffusive process transaction costs option pricing |
| 基金项目:安徽省教育厅自然科学基金项目(AQKJ2015B011;KJ2016A428) |
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| 中文摘要: |
| 研究了次扩散过程驱动下带有交易成本的Merton期权定价模型.得到了此模型下欧式看涨期权所满足的Black-Scholes方程,并给出了欧式看涨期权的定价公式. |
| 英文摘要: |
| In this paper,the Merton model of option pricing with transaction costs in subdiffusive regime is studied.The Black-Scholes equation which European call options satisfy is derived.Moreover,the explicit formula for european call option is given. |
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