带交易费的路径依赖欧式期权的数值算法

Numerical Computation on Path Dependent European Option with Fixed Trade Cost Rate

摘要:

考虑市场存在固定比例交易费的路径依赖欧式期权定价和数值计算问题,对变分不等方程采用马式链和修正的二叉树相结合的方法进行离散,并在粘性解意义下证明了离散格式的收敛性.

关键词:交易费; 马尔科夫链; 路径依赖; 约束粘性解; 随机控制

Abstract:

As for the problem of pricing path dependent European options in a market with transaction costs,the paper presents the discrete schemes based on the Markov chain and modified binomial approximation of the stock price,and shows the convergence of discrete schemes.

Key words:transaction cost; Markov chain; path dependent; constrained viscosity solution; stochastic control