时变混合分数布朗运动下带交易费用的亚式期权定价

丁毅,郭精军

Pricing Asian Options Under Time-Changed Mixed Fractional Brownian Motion with Transactions Costs

Yi Ding,Jingjun Guo

表 1 不同亚式期权定价模型价格之间的比较

$K$ $C_{GBM}$ $C_{FBM}$ $C_{MFBM}$ $C_{TC-MFBM}$ 90 12.818953 12.689548 13.990609 13.192214 91 12.081619 11.928910 13.335705 12.412176 92 11.366589 11.190936 12.699837 11.636384 93 10.674784 10.476815 12.083259 10.864681 94 10.007019 9.787618 11.486168 10.096917 95 9.363990 9.124284 10.908701 9.332946 96 8.746270 8.487611 10.350937 8.572629 97 8.154301 7.878242 9.812900 7.815831 98 7.588394 7.296662 9.294556 7.062422 99 7.048728 6.743191 8.795820 6.312278 100 6.535349 6.217986 8.316557 5.565279