| 标的资产服从几何分数布朗运动的期权定价 |
| |
| 引用本文： | 陈俊霞,蹇明.标的资产服从几何分数布朗运动的期权定价[J].经济数学,2006,23(3):252-255. |
| |
| 作者姓名： | 陈俊霞 蹇明 |
| |
| 作者单位： | 华中科技大学数学系,湖北武汉,430074 |
| |
| 摘 要： | 本文在M ogens B ladt和T ina H av iid R ydberg无市场假设,仅利用价格过程的实际概率的期权保险精算定价模型的基础上,得出了标的资产服从几何分数布朗运动的欧式期权定价公式,并说明了几何布朗运动是本文的一种特殊情况.
|
| 关 键 词： | 保险精算 几何分数布朗运动 期权定价. |
| 修稿时间： | 2006年3月24日 |
PRICING OPTION ON UNDERLYING ASSETS DRIVEN BY GEOMETRIC FRACTIONAL BROWNIAN MOTION |
| |
| Chen Junxia,Jian Ming.PRICING OPTION ON UNDERLYING ASSETS DRIVEN BY GEOMETRIC FRACTIONAL BROWNIAN MOTION[J].Mathematics in Economics,2006,23(3):252-255. |
| |
| Authors: | Chen Junxia Jian Ming |
| |
| Abstract: | Without any market assumptions,Mogens Bladt and Tina Haviid Rydberg use merely probability measure of price process and actuarial consideration for pricing options.Based on their work,this paper obtains European option pricing formula when underlying assets are driven by geometric fractional Brownian motion,and we point out geometric Brownian motion is a special case of our model. |
| |
| Keywords: | Actuarial approach geometric fractional Brownian motion option pricing |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
