| 基于鞅方法下分数布朗运动欧式回望期权的定价 |
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| 引用本文： | 桑利恒,杜雪樵.基于鞅方法下分数布朗运动欧式回望期权的定价[J].大学数学,2012,28(2):50-53. |
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| 作者姓名： | 桑利恒 杜雪樵 |
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| 作者单位： | 1. 滁州学院数学科学学院,安徽滁州,239000
2. 合肥工业大学数学学院,安徽合肥,230009 |
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| 摘 要： | 利用分数布朗运动研究了一种强路径依赖型期权—回望期权的定价问题.首先列出了有关的定义和引理;其次利用该定义和引理建立了分数布朗运动情况下的价格模型,通过鞅方法,得到了回望期权价格所满足的方程;最后分别给出了看跌回望期权和看涨回望期权的定价公式的显式解.
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| 关 键 词： | 分数布朗运动 鞅方法 回望期权 |
Study on the Valuation of Look-back Options in Fractional Brownian Motion by the Martingale Approach |
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| SANG Li-heng,DU Xue-qiao.Study on the Valuation of Look-back Options in Fractional Brownian Motion by the Martingale Approach[J].College Mathematics,2012,28(2):50-53. |
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| Authors: | SANG Li-heng DU Xue-qiao |
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| Institution: | 1.Department of Mathematics,Chuzhou University,Chuzhou 239000,China; 2.Department of Mathematics,Hefei University of Technology,Hefei 230009,China) |
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| Abstract: | This paper mainly deals with the pricing problem of the look-back option using the fractional Brownian motion,which is a kind of path dependent option.First of all the paper Lists in the definition and lemma;and secondly by the use of the definition and lemma established under fractional Brownian motion model of the price,look-back options pricing has been met by the differential equation;the final shows look-back put option and look-back call option pricing formula of the explicit solution respectively by using the random differential equation and the martingale methods. |
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| Keywords: | fractional brown motion martingale methods look-back option |
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