杨富春, 聂彩仁, 何青海. 一类带交易费用的含参数Black-Scholes模型[J]. 云南大学学报(自然科学版), 2003, 25(2): 85-87.
引用本文: 杨富春, 聂彩仁, 何青海. 一类带交易费用的含参数Black-Scholes模型[J]. 云南大学学报(自然科学版), 2003, 25(2): 85-87.
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YANG Fu-chun, NIE Cai-ren, HE Qin-hai. A generalization of Black-Scholes model with parameter and transaction costs[J]. Journal of Yunnan University: Natural Sciences Edition, 2003, 25(2): 85-87.
Citation: YANG Fu-chun, NIE Cai-ren, HE Qin-hai. A generalization of Black-Scholes model with parameter and transaction costs[J]. Journal of Yunnan University: Natural Sciences Edition, 2003, 25(2): 85-87.
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一类带交易费用的含参数Black-Scholes模型

A generalization of Black-Scholes model with parameter and transaction costs

    摘要
  • 摘要: 对Black-Scholes模型,讨论其在带有参数α及存在交易费用情形下的推广,得到了带有参数α及存在交易费用的衍生证券定价模型.

     

    Abstract: The Black Scholes model was generalized.A derivative securities pricing model with parameter and transaction costs was given.

     

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