The Pricing Theory And Its Application Of Options Under Transaction Costs And Dividend Payments

As the option transaction has become an important part of international finance market, the study of option pricing technique has been very popular in the financial situation. In the option trading market, dividends and transaction costs can't be avoided. Considering them in continuous-time market makes sense to develop option pricing theory and guide financial practice.The main results of the thesis can be summarized as follows :Pricing of options is considered with continuous dividends and parameters depending on time. By designing equivalent martingale measure, the replicating strategy is constructed, and the general pricing formula of European and American options are derived. Then we deduced the pricing formula of standard European call option.In the general finance market——diffuse market, the hedging and pricing of Europeancontingent claims are investigated under transaction costs and dividend payments. Via constructing auxiliary martingales, both put and call prices are defined and obtained. Also one adequate condition of existing auxiliary martingales is analyzed.In addition, the application of option pricing theory in venture capital is discussed . On the basis of continuity and multi-stage of venture capital, the multi-stage compound option model is established and its pricing formula is derived. Pricing formula of the value of two-stage credit guarantee is also obtained and the calculation example is present.