模糊环境中跳扩散模型下带交易费用的期权定价方法

Acta mathematica scientia,Series A ›› 2015, Vol. 35 ›› Issue (1): 118-130.

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Fuzzy Pricing Formula for European Options with Jumps and Transaction Costs

XIAO Shuang¹, JIAN Ming², CHEN Ai-Xiang², JIAN Bei³

1. Management School, Huazhong University of Science and Technology, Wuhan 430074 2. School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074 3. School of Software, Huazhong University of Science and Technology, Wuhan 430074

Received:2013-08-14 Revised:2014-11-17 Online:2015-02-25 Published:2015-02-25

Abstract

Abstract:

In this paper, we consider the fuzzy pricing problems for European options with jumps and transaction costs, based on the Merton's jump diffusion model. First, we deduce the pricing formula for European call options with jumps and transactions,and then the fuzzy counterpart of it is given by applying the fuzzy mathematical theory. Also, we provid the disfuzzification method for the obtained European call option pricing formula with the help of fuzzy integration. In the end, some illustrative numerical analysis examples are executed with Sage codes.

Key words: Jump diffusion , Transaction costs , Fuzzy , Option pricing.

CLC Number:

00A99

XIAO Shuang, JIAN Ming, CHEN Ai-Xiang, JIAN Bei. Fuzzy Pricing Formula for European Options with Jumps and Transaction Costs[J].Acta mathematica scientia,Series A, 2015, 35(1): 118-130.

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Fuzzy Pricing Formula for European Options with Jumps and Transaction Costs

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