混合分数布朗运动环境下欧式期权定价
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引用本文:陈飞跃 1,2 ,杨 蓉 2 ,龚海文 3.混合分数布朗运动环境下欧式期权定价[J].经济数学,2014,(3):9-13
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陈飞跃 1,2 ,杨 蓉 2 ,龚海文 3 (1.中南大学 商学院湖南 长沙 4100832.保险职业学院湖南 长沙 410114 3.长沙理工大学 数学与计算科学学院湖南 长沙 410114) 
中文摘要:假设股票价格变化过程服从混合分数布朗运动,建立了混合分数布朗环境下支付连续红利的欧式股票期权的定价模型.利用混合分数布朗运动的It-公式,将支付连续红利的欧式股票期权的定价问题转化为一个偏微分方程,通过偏微分方程求解获得了混合分数布朗运动环境下支付连续红利的欧式股票看涨期权的定价公式.
中文关键词:混合分数布朗运动,欧式期权,期权定价
 
Pricing European Option in the Mixed Fractional Brownian Motion Environment
Abstract:Assuming that the process of stock price follows the mixed fractional Brownian motion,this paper constructed the pricing model for European option of stock paying continuous dividend under mixed fractional Brownian motion environment. The problem of pricing European option of stock paying continuous dividend was changed into the question of partial differential equation by using mixed fractional It formula. The pricing formula of European call option of stock paying continuous dividend in mixed fractional Brownian motion environment was obtained by solving partial differential equation.
keywords:mixed fractional Brownian motion  European option  option pricing
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