分数布朗运动环境下的期权定价与测度变换

研究分数B-S市场中的期权定价问题.通过选取不同的资产作为计价单位及相应的测度变换,将经典模型中的计价单位变换方法推广到分数布朗运动市场环境,既丰富了分数期权定价的拟鞅方法,也得到了分数期权定价公式的新的推导方法.

Measure Transformation and Option Pricing in Fractional Brownian Motion Environment

We show the option pricing problem in fractional B-S markets.By selecting different asset as numeraire and the correspondant measure transformations,we generalize the classic measure transform methods to fractional Brownian motion market enivorment,which not only enriches the option pricing method of quasi-martingale,but also gives a new look to the derivation of fractional option pricing formula.