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| 开关式Hurst指数分形Black-Scholes市场中的欧式期权定价 | |
| 引用本文： | 施雅丰,陶祥兴,张松艳.开关式Hurst指数分形Black-Scholes市场中的欧式期权定价[J].经济数学,2011,28(1):40-44. |
| 作者姓名： | 施雅丰 陶祥兴 张松艳 |
| 作者单位： | 1. 宁波大学理学院,浙江宁波,315211;浙江科技学院理学院,浙江杭州,310023 2. 浙江科技学院理学院,浙江杭州,310023 3. 浙江科技学院经管学院,浙江杭州,310023 |
| 基金项目： | 国家自然科学基金资助项目，宁波市自然科学基金，浙江科技学院科研启动基金 |
| 摘 要： | 考虑标的资产价值服从几何分形布朗运动,但其Hurst指数以Poisson过程的方式在状态(H1 |
| 关 键 词： | 欧式期权 开关模式 分形Black-Scholes市场 分数布朗运动 Wick积 分形It(o)公式 |
European Option Pricing in a Fractional Regime-Switching Model |
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| SHI Ya-feng,TAO Xiang-xing,ZHANG Song-yan.European Option Pricing in a Fractional Regime-Switching Model[J].Mathematics in Economics,2011,28(1):40-44. | |
| Authors: | SHI Ya-feng TAO Xiang-xing ZHANG Song-yan |
| Institution: | 1.School of Science,Ningbo University,Ningbo,Zhejiang 315211,China;2.School of Science,Zhejiang University of Science & Technology,Hangzhou,Zhejiang 310023,China3.School of Economics & Management,Zhejiang University of Science & Technology,Hangzhou,Zhejiang 310023,China) |
| Abstract: | The European option pricing problem was investigated under the model that the underlying asset price change follows Geometric Fractional Brownian Motion but its Hurst index switches between H1 and H2 （H1 〈 a 〈 H2） with Poison process. The formula of European call option pricing under this model and a simple analysis for the results were given. |
| Keywords: | European option regime-switching fractional Black-scholes market fractional Brownian motion Wick product fractional Ito formula |
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