| 混合分数布朗运动环境下短期利率服从vasicek模型的欧式期权定价 |
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| 引用本文： | 李志广,康淑瑰.混合分数布朗运动环境下短期利率服从vasicek模型的欧式期权定价[J].数学杂志,2016,36(3):641-648. |
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| 作者姓名： | 李志广 康淑瑰 |
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| 作者单位： | 山西大同大学数学与计算机科学学院, 山西 大同 037009,山西大同大学数学与计算机科学学院, 山西 大同 037009 |
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| 基金项目： | 国家自然科学基金资助项目(11271235). |
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| 摘 要： | 本文研究了混合分数布朗运动环境下欧式期权定价问题.运用混合分数布朗运动的Ito公式,得到了Black-Scholes偏微分方程.同时,通过求解Black-Scholes方程,得到了欧式看涨、看跌期权的定价公式。推广了Black-Scholes模型有关欧式期权定价的结论.
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| 关 键 词： | 期权定价 vasicek 模型 Black-Scholes 模型 混合分数布朗运动 |
| 收稿时间： | 2013/3/11 0:00:00 |
| 修稿时间： | 2013/9/6 0:00:00 |
EUROPEAN OPTION PRICING UNDER THE VASICEK MODEL OF THE SHORT RATE IN MIXED FRACTIONAL BROWNIAN MOTION ENVIRONMENT |
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| LI Zhi-guang and KANG Shu-gui.EUROPEAN OPTION PRICING UNDER THE VASICEK MODEL OF THE SHORT RATE IN MIXED FRACTIONAL BROWNIAN MOTION ENVIRONMENT[J].Journal of Mathematics,2016,36(3):641-648. |
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| Authors: | LI Zhi-guang and KANG Shu-gui |
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| Institution: | School of Mathematics and Computer Science, Shanxi Datong University, Datong 037009, China and School of Mathematics and Computer Science, Shanxi Datong University, Datong 037009, China |
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| Abstract: | In this paper, the option pricing problem of European option is studied in the mixed fractional Brownian motion environment. By using fractional Itŏ formula, the Black-Scholes partial difierential equation is obtained. And the pricing formulae of the European call and put option are obtained by partial difierential equation theory. The results of Black-Scholes model are generalized. |
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| Keywords: | option pricing vasicek model Black-Scholes model mixed fractional Brownian motion |
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