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Option Pricing Model with Transaction Costs and Jumps in Illiquid Markets

机译：具有交易成本的选项定价模型，并在非替尼市场跳跃

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摘要

Option pricing model is a wildly interested topic in an area of financial Mathematics. The pioneer model was introduced by Fischer Black and Myron Scholes which is known as the Black-Scholes model. This model was derived under various assumptions such as liquidity and no transaction costs for which a underlying asset price in stock market might not be satisfied. With this fact, the underlying asset price models were remodeled, in order to determine an option value. This research aims to extend the Black-Scholes model by relaxing the assumption of no transaction costs in illiquid markets. Also, jumps of asset price are considered in this work. To do this, a differential form of asset price with transaction costs and jumps in illiquid markets is introduced and then used to construct the extended option pricing model. Furthermore, a numerical result of a call option price under a new situation is provided.
机译：期权定价模型是金融数学领域的一种非常感兴趣的主题。 Pioneer模型由Fischer Blacker Black和Myron Scholes引入，被称为Black-Scholes模型。 该模型是在各种假设中衍生的，例如流动性，并且没有股票市场的潜在资产价格可能不满足的交易成本。 有了这个事实，潜在的资产价格模型被改造，以确定期权值。 该研究旨在通过放松非正态市场中没有交易成本的假设来扩展黑人模型。 此外，在这项工作中考虑了资产价格的跳跃。 为此，介绍了具有交易成本的差异形式，并在非足市场中跳跃，然后用于构建扩展选项定价模型。 此外，提供了新情况下的呼叫期权价格的数值结果。

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