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[EB/OL]
北京：中国科技论文在线
） 摘要： 本文研究了带有交易费和红利的长记忆随机波动率模型的欧式期权定价问题
结果显示红利和交易费在期权定价中起着重要的作用
关键词： 锚定-调整
通过"锚定-调整"论述
得到了欧式期权的定价公式
） 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 transaction costs play an important role in option pricing under the long memory stochastic volatility model
Keywords： Anchoring-adjustment; dividends; delta-hedging; scaling; transaction costs 下载PDF阅读器 PDF全文下载： 初稿 （ 185 ） 作者简介： Liu Qian(1989),Female,Master,Financial engineering 通信联系人： Wang Xiaotian(1963),Male,Professor,Financial engineering 【收录情况】 中国科技论文在线： 刘倩
