| 服从分数跳-扩散过程的复合期权定价 |
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| 引用本文： | 方知,何传江,王艳.服从分数跳-扩散过程的复合期权定价[J].数学的实践与认识,2011,41(12). |
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| 作者姓名： | 方知 何传江 王艳 |
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| 作者单位： | 1. 重庆师范大学，涉外商贸学院,重庆,401520
2. 重庆大学，数学与统计学院,重庆,401331 |
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| 基金项目： | 重庆大学“211工程”三期创新人才培养计划建设项目(S-09110) |
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| 摘 要： | 用保险精算法,在标的资产价格服从分数跳-扩散过程,且风险利率、波动率和期望收益率为时间的非随机函数的情况下,给出了欧式复合期权的定价公式.结果推广了Gukhal以及Li等关于传统跳-扩散模型下的欧式复合期权的定价公式.
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| 关 键 词： | 分数布朗运动 复合期权定价 保险精算定价 跳-扩散过程 |
Compound Option Pricing on Fractional Jump-Diffusions |
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| FANG Zhi,HE Chuan-jiang,WANG Yan.Compound Option Pricing on Fractional Jump-Diffusions[J].Mathematics in Practice and Theory,2011,41(12). |
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| Authors: | FANG Zhi HE Chuan-jiang WANG Yan |
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| Institution: | FANG Zhi~1,HE Chuan-jiang~2,WANG Yan~2 (1.Chongqing Normal University Foreign Trade and Business College,Chongqing 401520,China) (2.College of Mathematics & Physics,Chongqing University,Chongqing 401331,China) |
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| Abstract: | In this paper,the pricing formulas for European compound options are obtained using insurance actuary pricing methods,where the underlying asset follows a fractional jump-diffusion process with the time-dependent parameters(expected rate,volatility and risk-less rate).These pricing formulas generalize the corresponding ones about European compound option pricing on jump-diffusions,which are obtained by Gukhal and Li,etc. |
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| Keywords: | fractional brownian motion compound options pricing insurance actuary pricing jump-diffusions |
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