| 标的资产服从一类混合过程的欧式未定权益定价 |
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| 引用本文： | 赵佃立.标的资产服从一类混合过程的欧式未定权益定价[J].应用数学,2007,20(2):386-391. |
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| 作者姓名： | 赵佃立 |
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| 作者单位： | 上海理工大学理学院,上海,200093 |
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| 基金项目： | 上海市高校优秀青年教师后备人选科研项目 |
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| 摘 要： | 文中假设标的资产价格服从受分数布朗运动和泊松过程共同驱动的一类混合模型，并给出了基于这一模型的欧式未定权益定价的基本公式，以及欧式看涨、看跌期权和上限型欧式期权的定价公式。
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| 关 键 词： | 欧式未定权益 多维分数布朗运动 泊松过程 红利 |
| 文章编号： | 1001-9847(2007)02-0386-06 |
| 修稿时间： | 2006-10-16 |
Pricing of European Contingent Claims on Stock Driven by Multidimensional Fractional Brown Motions and Poisson Processes |
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| ZHAO Dian-li.Pricing of European Contingent Claims on Stock Driven by Multidimensional Fractional Brown Motions and Poisson Processes[J].Mathematica Applicata,2007,20(2):386-391. |
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| Authors: | ZHAO Dian-li |
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| Abstract: | A new kind of hybrid process was presented and pricing of European power opions on the hybrid process was investigated in the paper,pricing formulas about European continget claims ,European call ,European put and collar options were obtained by using riskneutral valuation pricing formula. |
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| Keywords: | European contingent claims Multidimensional fractional Brown motion Poisson process Dividend |
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