有交易费的时间依赖型回望期权的定价研究
Pricing of Look Back Options With Transaction Costs Under Time-Dependent Parameters
假定标的资产模型中的参数为时间的函数(即无风险利率为r(t)，标的资产的期望回报率为u(t),标的波动率为l(t)以及红利率为q(t)) ，利用风险中性定价以及随机微分的性质，结合有交易费用的欧式期权的定价模型，得出了有交易费用的时间依赖型回望期权的定价模型。通过等价鞅进行求解，得出具体的有交易费用的时间依赖型回望期权的定价公式。
his paper provides pricing model and pricing formulas for look back options with Transaction costs using risk-neutral valuation and properties of stochastic integral when the price of underlying asset follows the model with time-dependent parameters ,i.e. time dependent risk less interest rate r(t) ,and risk asset has time-dependent expected rate of return u(t) ,volatility l(t) and pays time-dependent dividend yield q(t) and combining the pricing formula of European Option with Transaction costs.
王建稳 、王利伟
财政、金融数学
交易费等价鞅概率回望期权
ransaction costsmartingale methodprobabilitylook back option
王建稳 ,王利伟.有交易费的时间依赖型回望期权的定价研究[EB/OL].(2008-03-25)[2025-08-11].http://www.paper.edu.cn/releasepaper/content/200803-734.点此复制
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