| 基于鞅方法下分数布朗运动欧式回望期权的定价 |
| |
| 引用本文： | 桑利恒,杜雪樵. 基于鞅方法下分数布朗运动欧式回望期权的定价[J]. 大学数学, 2012, 28(2): 50-53. DOI: 10.3969/j.issn.1672-1454.2012.02.013 |
| |
| 作者姓名： | 桑利恒 杜雪樵 |
| |
| 作者单位： | 1.滁州学院数学科学学院,安徽滁州,239000;2.合肥工业大学数学学院,安徽合肥,230009 |
| |
| 摘 要： | 利用分数布朗运动研究了一种强路径依赖型期权—回望期权的定价问题.首先列出了有关的定义和引理;其次利用该定义和引理建立了分数布朗运动情况下的价格模型,通过鞅方法,得到了回望期权价格所满足的方程;最后分别给出了看跌回望期权和看涨回望期权的定价公式的显式解.
|
| 关 键 词： | 分数布朗运动 鞅方法 回望期权 |
Study on the Valuation of Look-back Options in Fractional Brownian Motion by the Martingale Approach |
| |
| SANG Li-heng,DU Xue-qiao. Study on the Valuation of Look-back Options in Fractional Brownian Motion by the Martingale Approach[J]. College Mathematics, 2012, 28(2): 50-53. DOI: 10.3969/j.issn.1672-1454.2012.02.013 |
| |
| Authors: | SANG Li-heng DU Xue-qiao |
| |
| Affiliation: | 1.Department of Mathematics,Chuzhou University,Chuzhou 239000,China; 2.Department of Mathematics,Hefei University of Technology,Hefei 230009,China) |
| |
| Abstract: | This paper mainly deals with the pricing problem of the look-back option using the fractional Brownian motion,which is a kind of path dependent option.First of all the paper Lists in the definition and lemma;and secondly by the use of the definition and lemma established under fractional Brownian motion model of the price,look-back options pricing has been met by the differential equation;the final shows look-back put option and look-back call option pricing formula of the explicit solution respectively by using the random differential equation and the martingale methods. |
| |
| Keywords: | fractional brown motion martingale methods look-back option |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
