| 分数布朗运动下欧式复杂任选期权定价 |
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| 引用本文： | 詹颖心,徐云.分数布朗运动下欧式复杂任选期权定价[J].数学理论与应用,2010(3):78-82. |
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| 作者姓名： | 詹颖心 徐云 |
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| 作者单位： | 新疆大学数学与系统科学学院,乌鲁木齐830046 |
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| 基金项目： | 自治区高校科研计划重点项目FSRPHEXJ：XJEDU2008I09资助 |
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| 摘 要： | 在分数布朗运动环境下,利用拟鞅定价的方法,给出欧式复杂任选期权的定价公式,并用数值方法分析了选择日和Hurst参数与期权价格的关系。
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| 关 键 词： | 欧式复杂任选期权 分数布朗运动 拟鞅定价 |
Pricing European Complex Chooser Option in Fractional Brownian Montion Environment |
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| Zhan Yingxin Xu Yun.Pricing European Complex Chooser Option in Fractional Brownian Montion Environment[J].Mathematical Theory and Applications,2010(3):78-82. |
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| Authors: | Zhan Yingxin Xu Yun |
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| Institution: | Zhan Yingxin Xu Yun (College of Mathematics and System Science,Xinjiang University, Urumqi, 830046) |
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| Abstract: | By using the method of quasi - martingale pricing, the price of the European chooser option is obtained in a fractional Brownian motion environment,then the relationship of chooser date and Hurst parameter is obtained with numerical reasults. |
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| Keywords: | Chooser option Fractional Brownian motion Quasi - martingale pricing |
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