| 鞅分析在具有红利支付的n次幂型欧式期权定价中的应用 |
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| 引用本文： | 孔繁亮,孔祥冰.鞅分析在具有红利支付的n次幂型欧式期权定价中的应用[J].数学理论与应用,2011(2):1-6. |
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| 作者姓名： | 孔繁亮 孔祥冰 |
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| 作者单位： | 哈尔滨理工大学数学系; |
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| 基金项目： | 国家自然科学基金项目资助(10771046) |
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| 摘 要： | 本文探讨了鞅分析在具有红利支付的n次幂型欧式期权定价中的应用,即用鞅分析的技巧与方法研究了在标的资产服从分数布朗运动的条件下具有红利支付的n次幂型欧式期权定价问题,并获得了其公式。丰富了已有期权定价结果,使期权定价公式更有利于实际的应用。
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| 关 键 词： | 等价鞅测度 n次幂型欧式期权 红利 布朗运动 |
Application of Martingale Analysis in n-th Power Payoffs European Option Pricing with Dividend Payment |
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| Kong Fanliang Kong Xiangbing.Application of Martingale Analysis in n-th Power Payoffs European Option Pricing with Dividend Payment[J].Mathematical Theory and Applications,2011(2):1-6. |
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| Authors: | Kong Fanliang Kong Xiangbing |
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| Institution: | Kong Fanliang Kong Xiangbing(Department of Mathematics,Harbin University of Science and Technology,Harbin,150080) |
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| Abstract: | This paper studies the application of martingale analysis in n-th power payoffs European option pricing with dividend payment,namely,it uses the method of martingale analysis to study the problem of n-type power payoffs European option pricing with dividend payment when the underlying assets follow fractional Brownian motion,and obtains the formula.It enriches the existing option pricing results which makes option pricing formula more conducive to practical application. |
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| Keywords: | Equivalent martingale measures n-th power payoffs European option dividend Brownian motion |
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