首页 | 本学科首页   官方微博 | 高级检索  
     检索      

股票价格服从分式Brown运动的股票期权保险精算定价
引用本文:颜飞,邹捷中.股票价格服从分式Brown运动的股票期权保险精算定价[J].数学理论与应用,2006,26(2):48-50.
作者姓名:颜飞  邹捷中
作者单位:中南大学数学科学与计算技术学院 长沙410075
摘    要:期权定价的保险精算方法由M ogens B ladt和H ina Hv iid R ydberg于1998年首次提出,由于无任何市场假设,所以它不光对无套利、均衡、完备的市场有效,且对有套利、非均衡、不完备的市场也有效.本文利用保险精算方法讨论了股票价格服从分式B row n运动的欧式期权定价问题.

关 键 词:分式Brown运动  随机微分方程  保险精算定价
收稿时间:11 5 2005 12:00AM

Fractional Pricing of Stock Price Process Following Fractional Brownian Movement
Yan Fie ,Zou Jiezhong.Fractional Pricing of Stock Price Process Following Fractional Brownian Movement[J].Mathematical Theory and Applications,2006,26(2):48-50.
Authors:Yan Fie  Zou Jiezhong
Institution:School of Mathematics Science and Compution Technology,Central South University,Changsha,410075
Abstract:The actuarial pricing was provided by Mogens Bladt and Hina Hviid Rydberg in 1998,without any assumptions,wo it is effective not only in the no-arbitrage,equailibrium,complete market,but also in the arbitrage,non-equilibrium,incomplete market.This paper discusses the European option pricing under stock price process following fractional brownian movement.
Keywords:fractional brownian movement stochastic differential equation actuarial pricing  
本文献已被 CNKI 维普 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号