【摘要】 主要研究基于CEV过程且支付交易费的脆弱期权定价的数值计算问题.首先通过构造无风险投资组合,导出了基于CEV过程且支付交易费用的脆弱期权定价的偏微分方程模型;其次应用有限差分方法将定价模型离散化,并设计数值算法;最后以看跌期权为例进行数值试验,分析各定价参数对看跌期权价值的影响.更多还原

【Abstract】 This paper mainly studies the numerical calculation of vulnerable option pricing based on the constant elasticity of variance(CEV) process with transaction costs. First, by constructing a risk-free portfolio, a partial differential equation model of vulnerable option pricing for paying transaction costs under the CEV process is derived. Then, the finite difference method is used to discretize the pricing model, and a numerical algorithm is designed. Finally, by using a put option as an example, we conduct a numerical experiment to analyze the impact of various pricing parameters on the value of the put option.更多还原