# [1]王健,李超杰,何建敏.有交易成本的GARCH-扩散期权定价模型[J].东南大学学报(自然科学版),2006,36(1):174-178.[doi:10.3969/j.issn.1001-0505.2006.01.035] 　Wang Jian,Li Chaojie,He Jianmin.GARCH diffusion option pricing model with transaction costs[J].Journal of Southeast University (Natural Science Edition),2006,36(1):174-178.[doi:10.3969/j.issn.1001-0505.2006.01.035] 点击复制 有交易成本的GARCH-扩散期权定价模型() 分享到： var jiathis_config = { data_track_clickback: true };

36

2006年第1期

174-178

2006-01-20

## 文章信息/Info

Title:
GARCH diffusion option pricing model with transaction costs

Author(s):
College of Economics and Management, Southeast University, Nanjing 210096, China

Keywords:

F830.9
DOI:
10.3969/j.issn.1001-0505.2006.01.035

Abstract:
Based on GARCH(generalized autoregressive condition heteroscedasticity model)diffusion process, the canonical Black-Scholes option pricing model is extended a situation with transaction cost. Firstly, the option pricing model with transaction cost is built by the GARCH diffusion process, and the nonlinear partial differential equation is given. Then the solution of this equation is approximated by the Talayor expansions technology. Finally, this pricing model is compared with Leland’ model. The result shows that the GARCH diffusion option pricing model is efficient in option pricing.

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