基于分数布朗运动的具有信息影响的投资组合期权定价 |
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引用本文: | 徐云.基于分数布朗运动的具有信息影响的投资组合期权定价[J].数学的实践与认识,2014(19). |
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作者姓名: | 徐云 |
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作者单位: | 对外经济贸易大学统计学院; |
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基金项目: | 对外经济贸易大学中央高校科研项目(13YBJJ04) |
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摘 要: | 假设标的资产价格服从分数布朗散运动,其价格跳跃度服从复合Poisson分布,采用拟鞅定价的方法,得到了具有信息影响的投资组合的期权定价公式.
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关 键 词: | 期权定价 信息 投资组合 |
The Pricing of Portfolio with Information Option on Fractional Brownian Motion |
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Abstract: | Assuming the price of underlying asset of portfolio with information follows a fractional Brownian motion,and the jump range of the portfolio pricing follows compound Poisson distribution,under the condition of no arbitrage in the market,the quasi-martingale pricing method be used and the analytic pricing formula of continuous strike option is obtained in this paper. |
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Keywords: | pricing option information portfolio |
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