| 混合分数布朗运动驱动的幂期权定价模型 |
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| 引用本文： | 徐峰,郑石秋.混合分数布朗运动驱动的幂期权定价模型[J].经济数学,2010,27(2):8-12. |
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| 作者姓名： | 徐峰 郑石秋 |
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| 作者单位： | 1. 中国矿业大学,理学院,江苏,徐州,221008;苏州市职业大学,经贸系,江苏,苏州,215104
2. 河北理工大学,理学院,河北,唐山,063009 |
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| 摘 要： | 假设标的资产遵循由混合分数布朗运动驱动的随机微分方程,建立了混合分数布朗运动环境下的金融数学模型.利用拟鞅方法,获得了欧式幂期权定价公式的解析式及其平价公式.最后阐述了分数布朗运动只是混合布朗运动的一种特殊情形.
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| 关 键 词： | 混合分数布朗运动 幂期权 平价关系 |
Model of Power Option Pricing Driven by Mixed Fractional Brownian Motion |
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| XU Feng and ZHENG Shi qiu.Model of Power Option Pricing Driven by Mixed Fractional Brownian Motion[J].Mathematics in Economics,2010,27(2):8-12. |
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| Authors: | XU Feng and ZHENG Shi qiu |
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| Institution: | 1.College of Sciences,China University of Mining and Technology,Jiangsu Xuzhou 221008; 2.Business Department,Suzhou Vocational University,Jiangsu Suzhou 215104; 3.College of Science,Hebei Polytechnic University,Hebei Tangshan 063009) |
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| Abstract: | Assuming that the underlying asset obeys the stochastic differential equation driven by mixed fractional Brownian motion,we established the mathematical model for the financial market in mixed fractional Brownian motion setting.Using quasi-martingale method,we obtained the explicit expression for the European Power option price and the call-put parity.Finally,we point out that fractional Brownian motion is an especial case of mixed fractional Brownian motion. |
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| Keywords: | mixed fractional Brownian motion power option put-call parity |
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