| Hurst指数属于(1/3,1/2)的分数模型的期权定价 |
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| 引用本文： | 梅正阳,祁改珂,王同柱.Hurst指数属于(1/3,1/2)的分数模型的期权定价[J].应用数学,2011,24(3). |
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| 作者姓名： | 梅正阳 祁改珂 王同柱 |
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| 作者单位： | 华中科技大学数学与统计学院,湖北武汉,430074 |
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| 摘 要： | 本文建立了由一类分数Brown运动驱动的新的随机微分方程模型,当基础资产价格运动服从该随机微分方程时,推导出了欧式期权的解析公式.
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| 关 键 词： | Hurst指数 分数Brown运动 Girsanov定理 Novikov条件 欧式期权 |
Options Pricing of Fractional Model with Hurst Index H Being(1/3,1/2) |
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| MEI Zhengyang
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QI Gaike
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WANG Tongzhu.Options Pricing of Fractional Model with Hurst Index H Being(1/3,1/2)[J].Mathematica Applicata,2011,24(3). |
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| Authors: | MEI Zhengyang QI Gaike WANG Tongzhu |
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| Institution: | MEI Zhengyang,QI Gaike,WANG Tongzhu(School of Mathematics and Statistics,Huazhong University of Science and Technology,Wuhan430074,China) |
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| Abstract: | In this paper,a new stochastic differential equation(SDE) which driven by fractional Brownian motionis introduced,the close formulation of Europe Call options price is derived when the price dynamics of stock satisfies this SDE. |
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| Keywords: | Hurst index Fractional Brownian motion Girsanov theorem Novikov condition European options |
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