文章基本信息

标题：Derivatives Pricing Based on Stochastic Control With Transaction Cost, Taxes and Dividends
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作者：Jianhui YANG ; Weikang HE
期刊名称：Management Science and Engineering
印刷版ISSN：1913-0341
电子版ISSN：1913-035X
出版年度：2017
卷号：11
期号：1
页码：14-22
语种：English
出版社：Canadian Research & Development Center of Sciences and Cultures
其他摘要：This paper attempts to apply stochastic control theory, considering option pricing on the situation when payment, tax and transaction costs exist, and finally obtain an interval of price, which not only make it more similar to the reality, but also provide reference for investors to make investment decisions. Our paper improved the uncertain volatility model. Based on the theory of stochastic control, we find the viscous solution of nonlinear partial differential equations by numerical methods when transaction cost and tax exist, and complete the empirical analysis on the actual data of the market, which has proved the value of this model.
关键词：Derivative pricing;UMV model;Stochastic control;Transaction cost;Tax