模糊环境下带交易费用的权证定价模型.pdfVIP

2010,30A(5):1254–1262 ∗ ( 430074) Æ 100     Black-Scholes MR(2000) 62P05 O211.63 A 1003-3998(2010)05-1254-09 1 Fischer Black Myron Scholes(1973) [1] ℄ Black-Scholes . Black-Scholes ℄ ℄℄ Leland(1985) ℄ [2] ℄℄ , ℄ ℄ [4] Æ ℄Æ℄ Æ “ ” ℄ ℄ “ ” “ ” Ronald Coase ℄℄ ℄ ℄ Æ “ ” “ ” ℄℄ ℄℄℄ Yoshida(2003) ℄℄ ℄ “ ”, [8]; Wu[9] ℄ Black-Scholes ℄Æ℄ Black-Scholes 2010-07-26 ∗E-mail: Jm5546@21 No.5 ℄ 1255 ℄ “Æ ” ℄ ÆÆ [8] ℄— ℄ ℄℄ Æ Leland ℄℄ ℄ ℄℄Æ℄ ℄ CWB1 CWB1 ℄ ℄ 2 2.1 1) ℄℄ ℄ 2) ˜ ˜ 3) ℄ ℄ k, k ˜ k  x − k1   , k ≤ x ≤ k ; 1 0 µ˜ (x) =  k0 − k1 (1) k  x − k2   , k ≤ x ≤ k , 0 2 k0 − k2 1 k0 k1 k2 ℄℄ ℄ ( 4.1 ). 1  − + ˜ α k ℄ α kα = [kα , kα ]. k− = k + α(k − k ), k+ = k + α(k − k