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分数布朗运动驱动的幂型期权定价模型研究
引用本文:赵巍.分数布朗运动驱动的幂型期权定价模型研究[J].经济数学,2008,25(4).
作者姓名:赵巍
作者单位:淮海工学院商学院,江苏,连云港,222001
摘    要:股价运动分形特征的发现,说明布朗运动作为期权定价模型的初始假定存在缺陷.本文假定标的资产价格服从几何分数布朗运动,利用分数风险中性测度下的拟鞅(quasi-martingale)定价方法重新求解分数Black-Scholes模型,进而对幂型期权进行定价.结果表明,幂型期权结果包含了Black-Scholes公式和平方期权结果,且相比标准期权价格,分数期权价格要同时取决于到期日和Hurst参数H.

关 键 词:分数布朗运动  拟鞅定价  分数Black-Scholes模型  幂型期权  

PRICING OF EUROPEAN OPTIONS WITH POWER PAYOFF BASED ON FBM
Zhao Wei.PRICING OF EUROPEAN OPTIONS WITH POWER PAYOFF BASED ON FBM[J].Mathematics in Economics,2008,25(4).
Authors:Zhao Wei
Abstract:Brownian motion is the basic hypothesis of option pricing model,which was questioned the fractal property of stock price.Given the price of assert following geometric FBM,and using of quasi-martingale method based on fractional risk neutral measure,this paper solved fractional Black-Scholes model and European Options with Power Payoff.The result generalizes the Black-Scholes and square option formulas.And it shows fractional option price,compared to classical option price,depends on maturity time and Hurst ...
Keywords:Fractional Brownian motion  quasi-martingale pricing  fractional Black-Scholes model  European options with power payoff  
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