發(fā)布時間：2019-02-16 16:37

【摘要】：Cox和Ross在 1995年對CEV(Constant Elasticity of Variance,不變彈性方差)過程進行了研究,提出了標的資產(chǎn)服從CEV過程的期權定價模型;Leland在1985年提出δ-hedging方法,可在Black-Scholes模型的基礎上獲得存在交易費用的定價模型。綜合Cox和Leland的研究,我們可以得到CEV過程下帶交易費的期權定價模型。目前不少研究人員已對這類期權定價模型進行過數(shù)值求解,但大多為二叉樹法和有限差分法,用有限元法求解該模型的很少。本文嘗試使用二次有限元方法求解CEV過程下帶交易費的期權定價模型,發(fā)現(xiàn)二次有限元方法非常有效,其數(shù)值實驗結果也與實際觀察情況一致。
[Abstract]:In 1995, Cox and Ross studied the process of CEV (Constant Elasticity of Variance, invariant elastic variance, and put forward the option pricing model of underlying asset from CEV process. Leland proposed 未-hedging method in 1985, which can obtain the pricing model with transaction cost on the basis of Black-Scholes model. Based on the research of Cox and Leland, we can get the option pricing model with transaction cost in CEV process. At present, many researchers have solved this kind of option pricing model numerically, but most of them are binary tree method and finite difference method, few of them are solved by finite element method. In this paper, the quadratic finite element method is used to solve the option pricing model with transaction cost in the CEV process. It is found that the quadratic finite element method is very effective, and its numerical experimental results are in agreement with the actual observation.
【學位授予單位】：湘潭大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：O241.8

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本文編號：2424638