[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]
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有交易成本的GARCH-扩散期权定价模型()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
36
期数:
2006年第1期
页码:
174-178
栏目:
经济与管理
出版日期:
2006-01-20

文章信息/Info

Title:
GARCH diffusion option pricing model with transaction costs
作者:
王健 李超杰 何建敏
东南大学经济管理学院, 南京 210096
Author(s):
Wang Jian Li Chaojie He Jianmin
College of Economics and Management, Southeast University, Nanjing 210096, China
关键词:
交易成本 期权定价 GARCH-扩散过程
Keywords:
transaction cost option pricing GARCH diffusion process
分类号:
F830.9
DOI:
10.3969/j.issn.1001-0505.2006.01.035
摘要:
基于GARCH-扩散过程,把规范的Black-Scholes期权定价模型推广到存在交易成本的情形.首先给出了有交易成本的期权定价的非线性偏微分方程,然后用泰勒展开技术对方程的解进行逼近,最后与Leland的期权定价模型进行了比较.结果表明,有交易成本的GARCH-扩散期权定价模型具有较好的定价性能.
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.

参考文献/References:

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备注/Memo

备注/Memo:
基金项目: 国家自然科学基金资助项目(70371035).
作者简介: 王健(1970—),男,博士生, zjxh2@pub.zj.jsinfo.net; 何建敏(联系人),男,教授,博士生导师,nj.jian@public1.ptt.js.cn.
更新日期/Last Update: 2006-01-20