| 分数布朗运动下奇异期权的定价 |
| |
| 引用本文： | 刘国,徐云. 分数布朗运动下奇异期权的定价[J]. 数学理论与应用, 2011, 0(4) |
| |
| 作者姓名： | 刘国 徐云 |
| |
| 作者单位： | 新疆大学数学与系统科学学院; |
| |
| 基金项目： | 新疆维吾尔自治区高校科研基金(FSRPHEXJ:XJEDU2008109)资助 |
| |
| 摘 要： | 本文主要讨论了标的资产受数布朗运动影响的远期开始期权和波士顿期权定价问题,并给出了相对应的定价公式.
|
| 关 键 词： | 分数布朗运动 远期开始期权 波士顿期权 |
Pricing Exotic Option in Fractional Brownian Motion |
| |
| Liu Guo Xu Yun. Pricing Exotic Option in Fractional Brownian Motion[J]. Mathematical Theory and Applications, 2011, 0(4) |
| |
| Authors: | Liu Guo Xu Yun |
| |
| Affiliation: | Liu Guo Xu Yun(College of Mathematics and System Science,Xinjiang Universiity,Urumqi 830046) |
| |
| Abstract: | This article focuses on the pricing problem of the Forward Start Options and Boston option,which underlying asset are driving by a fractional Brownian motion.This article also gives the corresponding pricing formula. |
| |
| Keywords: | Fractional Brownian Forward Start Options break fowards |
| 本文献已被 CNKI 等数据库收录！ |
