| 标的资产服从混合过程的二种新型期权的定价 |
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| 引用本文： | 王剑君.标的资产服从混合过程的二种新型期权的定价[J].经济数学,2010,27(1):61-66. |
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| 作者姓名： | 王剑君 |
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| 作者单位： | 湖南工程学院理学院,湖南湘潭,411104 |
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| 基金项目： | 湖南省教育厅一般资助项目 |
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| 摘 要： | 假设标的资产价格服从受多维分数布朗运动和泊松过程共同驱动的一类混合模型，通过这一模型的欧式未定权益的一般定价公式，求出了2种新型期权的定价公式．
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| 关 键 词： | 多维分数布朗运动 泊松过程 欧式未定权益 新奇选择权 |
Pricing of Two Kinds of Exotic Options on Stock Driven by Mul Tidmensional Fractional Brownian Motions and Poisson Processes |
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| WANG Jian-jun.Pricing of Two Kinds of Exotic Options on Stock Driven by Mul Tidmensional Fractional Brownian Motions and Poisson Processes[J].Mathematics in Economics,2010,27(1):61-66. |
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| Authors: | WANG Jian-jun |
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| Institution: | WANG Jian-jun (College of Science, Hunan Institute of Engineering, Xiangtan,Hunan 411104,China) |
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| Abstract: | A new kind of hybrid process was presented. Under the hypothesis of underlying asset price submitting to multidimensional Fractional Brownian Motions and Poisson Processes, we obtained the pricing formulas of two kinds of exotic options by means of the generalized pricing formula of European contingent claim. |
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| Keywords: | multidimensional Fractional Brownian Motions Poisson Process European contingent claim exotic options |
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