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Black-Scholes模型成功解决了完全市场下的欧式期权定价问题.研究在不完全市场下的一类期权定价问题,即在假设交易过程有交易成本且标的资产价格服从跳-扩散过程下,推导出了在该模型下期权价格所满足的微分方程.
Black-Scholes model successfully solved the European option pricing problem in the complete market.We study a class of option pricing problem in the incomplete market under the assumption that the transaction cost and the underlying asset price follow the jump-diffusion process In this model, the option price satisfies the differential equation.