分数布朗运动环境下的幂期权定价

在等价鞅测度下,研究标的资产价格服从几何分数布朗运动的幂期权看涨、看跌定价公式及其平价公式.并与基于标准布朗运动的幂期权定价公式进行比较分析,进一步论证布朗运动只是分数布朗运动的一种特例,可基于分数布朗运动对原有的期权定价模型进行推广.

Power Option Pricing in a Fractional Brownian Motion

By applying equivaient martingaie measure.We derive the pricing iormuias for power option and call-put parity when underlying assets are driven by Fractional Brownian Motion.The conciusion will be compared with the classical resuits based on standard Brownian Motion.We point out that standard Brownian Motion is an especial case of Fractional Brownian Motion.The quondam option pricing model can be generalized.