| 分数跳——扩散环境下的巨灾期权定价 |
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| 引用本文：沈明轩1,何朝林2.分数跳——扩散环境下的巨灾期权定价[J].经济数学,2012,(3):78-81 |
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| 中文摘要:在假设巨灾指数服从分数跳-扩散的条件下，利用保险精算方法给出了有N个独立跳跃源的分数跳-扩散过程下巨灾期权的定价. |
| 中文关键词:巨灾期权 分数布朗运动 泊松过程 保险精算 |
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| The Pricing of Catastrophe Options in Fractional Jump-Diffusion Environment |
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| Abstract:Under the condition that the catastrophe index obeys the stochastic differential equation driven by fractional Brownian motion and Poisson process, we obtained the pricing formula of catastrophe options with N independent jumping source by insurance actuary pricing. |
| keywords:catastrophe options fractional Brownian motion Poisson process insurance actuary |
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