|
|||||
|
|
| 分数布朗运动环境下欧式幂期权的定价 | |
| 引用本文： | 赵佃立. 分数布朗运动环境下欧式幂期权的定价[J]. 经济数学, 2007, 24(1): 22-26 |
| 作者姓名： | 赵佃立 |
| 作者单位： | 上海理工大学理学院,上海,200093 |
| 基金项目： | 上海高校选拔培养优秀青年教师科研专项基金 |
| 摘 要： | 本文主要讨论了标的资产受多个分数布朗运动影响的欧式幂期权定价问题:基于风险中性概率测度,给出了在有红利支付且无风险利率及红利率为非随机函数的情况下的两类欧式幂期权定价公式,并分别求出了涨跌欧式幂期权的平价关系. |
| 关 键 词： | 分数几何布朗运动 欧式幂期权 红利 平价关系 |
| 修稿时间： | 2006-09-29 |
PRICING OF EUROPEAN POWER OPTIONS IN MULTIDIMENSIONAL FRACTIONAL BROWN MOTIONS ENVIRONMENT |
|
| Zhao Dianli. PRICING OF EUROPEAN POWER OPTIONS IN MULTIDIMENSIONAL FRACTIONAL BROWN MOTIONS ENVIRONMENT[J]. Mathematics in Economics, 2007, 24(1): 22-26 | |
| Authors: | Zhao Dianli |
| Abstract: | Pricing of European power options in multidimensional fractional Brown motion environment was investigated in the paper,pricing formulas about two kinds of European power options were obtained by using risk-neurtral valuation pricing formula,and last,the Put-Call parity for the power options was presented. |
| Keywords: | European power options multidimensional fractional Brown motion dividend Put-Call parity. |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |