分数布朗运动的美式障碍期权定价
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引用本文:温 鲜1,霍海峰1,邓国和2.分数布朗运动的美式障碍期权定价[J].经济数学,2011,(3):87-91
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温 鲜1,霍海峰1,邓国和2 (1.广西工学院鹿山学院 基础教学部广西 柳州 5456162.广西师范大学 数学科学学院广西 桂林 541004) 
中文摘要:假定标的股票服从分数布朗运动,应用二次近似法和偏微分方程方法求出了美式下降敲出看涨、看跌障碍期权价格近似解以及最佳实施边界. 最后,通过显式差分法比较近似解的准确性,并分析Hurst参数对期权价格和最佳实施边界 S* 的影响.
中文关键词:分数布朗运动  美式障碍期权;二次近似法
 
Pricing of American Barrier Options in a Fractional Brownian Motion
Abstract:The pricing problem of an American Barrier option was considered in a fractional Black -Scholes model under the assumption that the underlying asset price satisfies a geometric fractional Brownian motion. The approximate solution of this option was obtained by using the quadratic approximation method and partial differential equation,and some examples were provided. Finally, the numerical examples using the finite difference method were provided to verify the conclusions.
keywords:fractional Brownian motion  American barrier options  quadratic approximation method
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