有交易成本的标的资产服从混合过程的新型期权定价

摘要

On the definition of transaction costs and dividends, by changing basic assumption of Black-Scholes option pricing model to the assume that underlying asset complies with mixed process. Using the method of portfolio combination to simulation options gains, get rainbow option pricing equation about underlying asset pricing process by mixed process with transaction cost and dividends, and many factors option pricing equation.%在有交易成本和红利的基础上,改变Black-Scholes期权定价模型的基本假设,认为标的资产是服从混合过程,运用证券组合模拟期权收益的方法,得到有交易成本和红利的标的资产服从混合过程的彩虹期权定价方程,以及多因素期权定价方程.