%0 Journal Article
%T Option Pricing and Portfolio Replication with Transaction Cost<br>有交易成本的期权定价模拟组合证券法
%A Zhu Yuxu
%A Huang Jiegang
%A Wu Chongfeng
%A <br>朱玉旭
%A 黄洁纲
%A 吴冲锋
%J 系统工程理论与实践
%D 1998
%I 
%X There have been European option pricing formulas in complete market.However,option pricing with transaction cost has not been solved.This paper gives basic equations replicating the payoff to option with transaction costs by portfolio.A modified B S formula in this situation is presented.Numerical calculation and analysis is also demonstrated.
%K option pricing \ portfolio\ transaction cost<br>期权定价
%K 组合证券
%K 交易成本
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=19C09B672C140D6D018ED8A6AA275D2D&yid=8CAA3A429E3EA654&vid=13553B2D12F347E8&iid=94C357A881DFC066&sid=59906B3B2830C2C5&eid=13553B2D12F347E8&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=1&reference_num=0