| 分数跳-扩散环境下欧式期权定价的Ornstein-Uhlenbeck模型 |
| |
| 引用本文： | 孙玉东,薛红.分数跳-扩散环境下欧式期权定价的Ornstein-Uhlenbeck模型[J].经济数学,2009,26(3):23-28. |
| |
| 作者姓名： | 孙玉东 薛红 |
| |
| 作者单位： | 西安工程大学,理学院,西安,710048 |
| |
| 基金项目： | 陕西省教育厅自然科学专项基金资助项目 |
| |
| 摘 要： | 假设股票价格遵循分数布朗运动和复合泊松过程驱动的随机微分方程，建立分数跳-扩散Ornstein-Uhlenbeck模型，利用价格过程的实际概率测度和公平保费原理，得到欧式看涨期权定价的解析表达式。推广了关于欧式期权定价的结论。
|
| 关 键 词： | 分数布朗运动 跳-扩散模型 公平保费 |
ORNSTEIN-UHLENBECK MODEL OF EUROPEAN OPTION PRICING IN FRACTIONAL JUMP-DIFFUSION ENVIRONMENT |
| |
| SUN Yu-dong,XUE Hong.ORNSTEIN-UHLENBECK MODEL OF EUROPEAN OPTION PRICING IN FRACTIONAL JUMP-DIFFUSION ENVIRONMENT[J].Mathematics in Economics,2009,26(3):23-28. |
| |
| Authors: | SUN Yu-dong XUE Hong |
| |
| Institution: | (School of Science, Xi＇an Polytechnic University, Xi＇an 710048) |
| |
| Abstract: | Assumeing that the stock price obeys the stochastic differential equation driven by fractional Brownian motion and compound Poission process, the fractional jump-diffusion Ornstein-Uhlenbeck model was built. Using the physical probability measure of price process and the fair premium, the price explicit expression of the European option was obtained. The results of European Option was generalized. |
| |
| Keywords: | fractional Brownian motion jump-diffusion model fair premium |
| 本文献已被 维普 万方数据 等数据库收录！ |
|
