摘要
假设标的资产遵循由混合分数布朗运动驱动的随机微分方程,建立了混合分数布朗运动环境下的金融数学模型.利用拟鞅方法,获得了欧式幂期权定价公式的解析式及其平价公式.最后阐述了分数布朗运动只是混合布朗运动的一种特殊情形.
Assuming that the underlying asset obeys the stochastic differential equation driven by mixed fractional Brownian motion,we established the mathematical model for the financial market in mixed fractional Brownian motion setting.Using quasi-martingale method,we obtained the explicit expression for the European Power option price and the call-put parity.Finally,we point out that fractional Brownian motion is an especial case of mixed fractional Brownian motion.
出处
《经济数学》
北大核心
2010年第2期8-12,共5页
Journal of Quantitative Economics
关键词
混合分数布朗运动
幂期权
平价关系
mixed fractional Brownian motion
power option
put-call parity
