| 基于观察信息的分数B-S市场的欧式幂期权定价模型 |
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| 引用本文： | 肖艳清,邹捷中.基于观察信息的分数B-S市场的欧式幂期权定价模型[J].经济数学,2008,25(2). |
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| 作者姓名： | 肖艳清 邹捷中 |
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| 作者单位： | 1. 湖南科技大学数学与计算科学学院,湘潭,411201;中南大学数学科学与计算技术学院,长沙,410075
2. 中南大学数学科学与计算技术学院,长沙,410075 |
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| 摘 要： | 本文讨论了基于观察信息的分数Black-Scholes市场中的幂期权定价问题,利用基于可观察的信息下的股票价格的条件分布公式,推导出欧式幂期权的定价公式,推广了有关的分数Black-Scholes市场中的期权定价的一些结果.
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| 关 键 词： | 分数布朗运动 条件期望 幂期权 |
OBSERVED INFORMATION BASED OPTION PRICING MODEL IN FRACTIONAL B-S MARKET |
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| Xiao Yanqing,Zou Jiezhong.OBSERVED INFORMATION BASED OPTION PRICING MODEL IN FRACTIONAL B-S MARKET[J].Mathematics in Economics,2008,25(2). |
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| Authors: | Xiao Yanqing Zou Jiezhong |
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| Institution: | Xiao Yanqing1,2,Zou Jiezhong2 (1.School of Mathematical , Computing Science,Hunan University of Science , Technogy,Xiangtan,411201,China,2.School of Mathematical Science , Computing Technology,Central South University,Changsha,410075,China.) |
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| Abstract: | We focus on a observed information based option pricing problem in fractional Black-Scholes market.By using the formula of conditional distrubition of the stock price based on observed information,we deduce a pricing formula for European power option,generalizes some reference option pricing results in fractional Blck-Scholes market. |
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| Keywords: | Fractional Brownian motion conditonal expectation power option |
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