| 混合分数布朗运动下亚式期权定价 |
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| 引用本文： | 孙玉东,师义民. 混合分数布朗运动下亚式期权定价[J]. 经济数学, 2011, 28(1): 49-51 |
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| 作者姓名： | 孙玉东 师义民 |
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| 作者单位： | 西北工业大学,应用数学系,陕西西安,710072 |
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| 基金项目： | 国家自然科学基金(70471057); 西北工业大学研究生种子基金(Z2011073) |
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| 摘 要： | 运用混合分数布朗运动的Ito公式,将几何平均亚式期权定价化成一个偏微分方程求解问题,通过偏微分方程求解获得了几何平均型亚式看涨期权的定价公式.
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| 关 键 词： | 混合分数布朗运动 几何平均型亚式期权 Black-Scholes偏微分方程 |
Asian Option Pricing Model in Mixed Fractional Brownian Motion Environment |
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| SUN Yu dong,SHI Yi min. Asian Option Pricing Model in Mixed Fractional Brownian Motion Environment[J]. Mathematics in Economics, 2011, 28(1): 49-51 |
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| Authors: | SUN Yu dong SHI Yi min |
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| Affiliation: | SUN Yu-dong,SHI Yi-min (Department of Applied Mathematics,Northwestern Polytechnical University,Xi'an,Shannxi 710072,China) |
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| Abstract: | In order to overcome the shortcomings,the geometric average Asian option was changed into the question of solving partial differential equation by mixed Ito^ formula.The pricing formula of the geometric average Asian call and put option were obtained by partial differential equation theory. |
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| Keywords: | mixed fractional Brownian motion geometric average Asian option Black-Scholes partial differential equation |
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