分数B-S模型下带固定和按比例交易费的欧式期权定价研究.pdfVIP

摘 要 在经典的Black-Scholes 期权定价模型中，资产价格的变化被假设是服从几何Brown 运动的，所以标的资产价格满足几何Brown 运动的性质 （如马氏性和鞅的性质等），即 未来某一时刻资产的价格只与当前的价格有关，而与过去的价格无关。但大量的实证研 究表明，标的资产价格并不服从随机游走，而是表现出标度特征和长期相关性。所以， 人们提出用具有这两个性质的分数 Brown 运动取代经典 Black-Scholes 模型中的几何 Brown 运动，从而更好地刻画了资产价格的变化过程。 在现实的金融市场中，在有交易费的情况下，如果交易是连续的，那么投资者将会 面临数额巨大、不容忽视的交易费。因而，本文假定交易是在离散时间场合进行的。 在离散时间场合下，假定投资者是有限性理性的投资者，他们在决策制定时采用锚 定—调整策略，运用Delta 规避策略，在平均自融资意义下用无风险证券和标的资产构 成的组合复制期权，得出了分数Black-Scholes 模型下含固定和按比例交易费的欧式期权 定价公式。而后通过定价公式，得到了两种情况下的规避期权的最小时间间隔及相应的 期权最小价格。 最后，对所得结果进行了数值分析，结果表明固定和成比例交易费对期权定价有重 要的影响。 关键词：锚定—调整；Delta 规避；交易费；平均自融资；标度 I Abstract In classic Black - Scholes option pricing model, the movement of asset price is assumed by following the geometric Brownian motion, so the movement of underlying assets price have the same properties as geometric Brownian motion have (such as Markov property and martingale etc.), that is the future asset price at a certain moment only related to the current price, and has nothing to do with the price of the past for a period of time. But a large number of empirical studies have shown that the underlying assets price do not follow random walk, but present the scaling laws and long-range dependence. So people put forward using fractional Brownian motion process with characteristics of these two views instead of the geometric Brownian motion of classical Black-Scholes model, better illustrated in process of the movement of asset price. In a real financial market with transaction costs, if the investors trade continuously then they will face huge sums and cannot be ignored of the transaction costs. Thus, we assume that the trading occurs in a discrete ti