A study on the pricing of lookback options with transaction cost in the CEV model

被引：0

作者：

Yuan, Guojun ^{[1
]}

Zhao, Jianzhong ^{[1
]}

Zhou, Benda ^{[1
]}

Shi, Minghua ^{[1
]}

机构：

[1] W Anhui Univ, Dept Math & Phys, Luan 237012, Anhui, Peoples R China

来源：

PROCEEDINGS OF FIRST INTERNATIONAL CONFERENCE OF MODELLING AND SIMULATION, VOL IV: MODELLING AND SIMULATION IN BUSINESS, MANAGEMENT, ECONOMIC AND FINANCE | 2008年

关键词：

option pricing; lookback options; CEV model; transaction cost;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper mostly studies one of the valuation of lookback options with transaction cost in the CEV model, then derives the options pricing model and the differential equation of the option pricing model by using Ito formula and the no-arbitrage principle.

引用

页码：136 / 141

页数：6

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