摘要
文章首先对分数布朗运动和几何分数布朗运动作了简要的介绍,然后利用几何分数布朗运动模型来描述金融价格的变动;在标的资产服从几何分数布朗运动模型的假设下,利用标的资产有红利支付的欧式未定权益的一般定价公式,求出了2种新型权证的定价公式。
In this paper Fractional Brownian Motion and Geometric Fractional Brownian Motion are briefly introduced at first. Then Geometric Fractional Brownian Motion model is employed to describe the changes of the prices of financial instrument. Under the hypothesis of underlying asset price submitted to Geometric Fractional Brownian Motion, the pricing formulas of two kinds of exotic options are obtained by means of the generalized pricing formula of European contingent claim.
出处
《合肥工业大学学报（自然科学版）》
CAS
CSCD
北大核心
2010年第3期474-477,共4页
Journal of Hefei University of Technology：Natural Science
基金
湖南省教育厅科研资助项目(09c257)
关键词
分数布朗运动
几何分数布朗运动
欧式未定权益
新奇选择权
Fractional Brownian Motion
Geometric Fractional Brownian Motion
European contingent claim
exotic option
