有关B-S模型放宽假设的问题

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    想请教大家下,对B-S模型的修正和替代，在放宽1.无风险利率 2.红利和交易成本 3.提前执行. 这三个假设的情况下分别用到了谁的哪些方法或者替代模型?（比如在放宽资产价格波动率是用到了CEV、默顿的还有Gamma模型。）谢谢大家啦~

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关键词：B-S模型 B-S 资产价格波动 无风险利率 gamma 模型

strictly, some models can not be regarded as an extension of BS model, instead, they are totally new models.

1. risk free rate: Black's model (1976)
2. early exercise: Black's approximation, and many other approximation methods for american option (e.g. See Geske's papers)
3. dividend: Merton's' model (1973 continuous dividend). Also model for discrete proportional dividend, but I don't know the author's name for the original paper.
4. transaction costs and taxes: Ingersoll (1976)
5. CEV: John Cox and Stephen Ross (1976)
6. Jumping: Merton's Jumping model (1976)
7. Gamma: Variance-Gamma model (1998, Peter Carr and other two authors)
8. Stochastic Volatility model: Hull-White (1987), Heston (1992) ( you can refer to my post: https://bbs.pinggu.org/thread-2449559-1-1.html)

Chemist_MZ 发表于 2013-6-1 19:49
strictly, some models can not be regarded as an extension of BS model, instead, they are totally new ...

明白了，非常感谢~