【摘要】 研究了Merton时变利率模型下带有交易费的欧式期权定价问题,利用径向基函数法对其近似求解,借助于数值实验,探讨了无风险利率时变及波动率变化对期权价格的影响.实验结果表明,径向基函数法求解欧式看涨期权具有高精度、计算简单、易操作等优点.更多还原

【Abstract】 In this paper, the European pricing options with transaction costs under Merton model of time-varying interest rate is studied. Using the radial basis function method, the computing scheme for the numerical solutions of the European pricing options with transaction costs under Merton model of time-varying interest rate is presented. The effects of time-varying risk-free and volatility on option price are analysed by the numerical experiments. The experimental results show that the radial basis function method is an effective method for study European call options, and this method has the advantages of high precision, simple calculation and easy operation.更多还原