| 分数次布朗运动的欧式障碍期权定价 |
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| 引用本文： | 霍海峰,温鲜,邓国和.分数次布朗运动的欧式障碍期权定价[J].经济数学,2009(4). |
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| 作者姓名： | 霍海峰 温鲜 邓国和 |
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| 作者单位： | 广西工学院鹿山学院基础教学部 广西师范大学数学科学学院 |
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| 基金项目： | 国家自然科学基金资助项目(40675023);; 广西自然科学基金资助项目(桂科自0991091);; 广西研究生教育创新计划项目(2009106020701M33) |
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| 摘 要： | 假定标的股票服从分数次布朗运动,应用偏微分方程的方法求出下降敲出欧式看涨障碍期权价格显示解,以及看涨-看跌的平价关系式.最后,通过有限差分法比较了显示解的准确性,分析了Hurst参数对期权价格和风险特征参数的影响.
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| 关 键 词： | 分数次布朗运动 障碍期权 PDE |
PRICING OF EUROPEAN BARRIER OPTIONS IN A FRACTIONAL BROWNIAN MOTION |
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| HUO Hai-feng,; WEN Xian,; DENG Guo-he.PRICING OF EUROPEAN BARRIER OPTIONS IN A FRACTIONAL BROWNIAN MOTION[J].Mathematics in Economics,2009(4). |
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| Authors: | HUO Hai-feng ; WEN Xian ; DENG Guo-he |
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| Institution: | 1.Ministry of Basic Education; Lushan College of Guangxi University of Technology; Liuzhou; Guangxi 545616; China; 2.College of Mathematical Science; Guangxi Normal University; Guilin; Guangxi 541004; China); |
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| Abstract: | The pricing problem of an European Barrier option was considered in a fractional Black-Scholes model,and the underlying asset price was assumed to satisfy a geometric fractional Brownian motion.The closed-form solution of this option was obtained by using the change approach of variables and partial differential equation.We also provided a call-put parity relation and some examples.Finally,some numerical examples using the finite difference method were provided to verify these conclusions. |
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| Keywords: | fractional Brownian motion barrier options PDE |
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