带交易费和红利的长记忆随机波动率模型的欧式期权定价 European option pricing with transaction costs and dividends under the long memory stochastic volatility model.pdfVIP

中国科技论文在线 European option pricing with transaction costs and dividends under the long memory stochastic volatility model ** 5 Liu Qian, Wang Xiaotian (Department of Mathematics,South China University of Technology,510640) Abstract: This paper deals with the problem of option pricing using the long memory stochastic volatility model with transaction costs and dividends. Through the „anchoring and adjustment‟ argument, a European call option pricing formula is obtained. It has been shown that dividends and 10 transaction costs play an important role in option pricing under the long memory stochastic volatility model. Key words: Anchoring-adjustment; dividends; delta-hedging; scaling; transaction costs 0 Introduction 15 Over the last few years, the financial markets are regarded as complex and nonlinear dynamic systems. A series of studies have found that many financial market time series display scaling laws and that there exist the excess kurtosis and skewness in the stock price returns. It is also well known that the returns and the volatilities of the stock prices often exhibit the long memory property where the autocorrelation of the returns and the absolute and squared returns of time 20 series are characterized by a very slow decay. These features are the crucial components of asset risk management, investment portfolios and option pricing, for their presences are closely connected to the