Journal of Mathematical Sciences: Advances and ApplicationsAuthor's: Qian Sun and Lingyun Gao
Pages: [35] - [51]
Received Date: September 30, 2017
Submitted by:
DOI: http://dx.doi.org/10.18642/jmsaa_7100121878
In recent years, the Black-Scholes Option Model has been continuously improved and expanded, the main direction of the improvement is to add dividend payment or transaction cost to the classical option pricing formula，many researchers have improved the model to solve the use of partial differential equation model is more complex. In this paper, the Leland model and the traditional option pricing formula are combined with calculus, probability theory and mathematical statistics knowledge as well as the substitution of variables. At the same time, a modified formula of Black- Scholes model is given by using some conclusions of partial differential equation model. And our revised model is intuitive and easy to understand, simpler to compute. In this paper, combined with examples of comparative analysis, intuitively explain the transaction costs and continuous dividends on the impact of the option price.
continuous dividend, transaction costs, Leland model, mathematical statistics.
