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Abstract:
B1ack-Scholes模型成功解决了有效证券市场下的欧式期权定价问题.然而,在现实的证券市场中,投资者将面临数量可观、不容忽视的交易成本.本文在界定交易成本的基础上,用证券组合模拟期权收益来构造有交易成本的欧式期权定价基本方程,并利用二项式定价模型予以验证,两者所得结论完全-致.
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Source :
管理工程学报
ISSN: 1004-6062
Year: 2001
Issue: 3
Page: 35-37
Cited Count:
WoS CC Cited Count: 0
SCOPUS Cited Count:
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count: -1
Chinese Cited Count: -1
30 Days PV: 10
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