混合分数布朗运动下亚式期权定价
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引用本文:孙玉东,师义民.混合分数布朗运动下亚式期权定价[J].经济数学,2011,(1):49-51
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作者单位
孙玉东,师义民 (西北工业大学 应用数学系陕西 西安710072) 
中文摘要:运用混合分数布朗运动的Ito公式,将几何平均亚式期权定价化成一个偏微分方程求解问题,通过偏微分方程求解获得了几何平均型亚式看涨期权的定价公式.
中文关键词:混合分数布朗运动  几何平均型亚式期权  Black Scholes偏微分方程
 
Asian Option Pricing Model in Mixed Fractional Brownian Motion Environment
Abstract:In order to overcome the shortcomings, the geometric average Asian option was changed into the question of solving partial differential equation by mixed Ito formula. The pricing formula of the geometric average Asian call and put option were obtained by partial differential equation theory.
keywords:mixed fractional Brownian motion  geometric average Asian option  Black Scholes partial differential equation
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