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Vasicek模型下的分数布朗运动模型的欧式期权定价 被引量：2

European options pricing of FBM based on Vasicek model
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摘要 在Vasicek模型下,利用Δ-对冲和资产价格服从分数布朗运动(FBM)的逼近过程的方法,获得了欧式期权定价模型,并得到了其解析式,改进了经典的Black-Scholes公式。 European options pricing model is obtained under Vasicek model by using the methods of Δ--hedging and approximation process of assets price which is driven by fractional Brownian motion（FBM）, and the close formula is also given. As a result, the classical Black-Scholes formula is improved.
作者 闫传鹏
机构地区 浙江科技学院理学院
出处 《浙江科技学院学报》 CAS 2012年第1期1-5,共5页 Journal of Zhejiang University of Science and Technology
关键词 分数布朗运动 零息债券 随机利率 期权定价 fractional Brownian motion zero coupon bonds stochastic interest rate option pricing
分类号 O211.63 [理学—概率论与数理统计] F224.7 [经济管理—国民经济]
  • 相关文献

参考文献8

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二级参考文献8

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共引文献5

同被引文献16

  • 1陈彩霞,黄大荣.Jamshidian理论在附息债券期权定价中的研究[J].湖北民族学院学报（自然科学版）,2006,24(2):122-124. 被引量：1
  • 2李巧艳,薛红.分数布朗运动环境下的最优投资组合[J].纺织高校基础科学学报,2007,20(1):30-32. 被引量：5
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  • 4Hull J C..期权、期货和其他衍生品[M].第4版.北京:清华大学出版社,2001:564-578.
  • 5HENRARD M. Explicit bond option formula in Heath-Jarrow-Morton one factor model[J]. International Journal of Theoretical and Applied Finance, 2003,6 (1): 57-72.
  • 6NECULA C. Option pricing in a fractional Brownian motion environment[J]. Pure Mathematics, 2002,2 (1) :63-68.
  • 7RONG Yuetang,ZHANG Lu. The pricing formula for coupombonds option with delay in delivery in fractional brown- ian motion environment [C]. The 3rd International Conference on E-Business and E-Government (ICEE2012), Shang- hai,2012 : 11-13.
  • 8THAO T H. An approximate approach to fractional analysis for finance[J]. J Nonlinear Analysis:Real Word Applica- tions, 2006,7 : 124-132.
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  • 10Alòs, E,Mazet, O,Nualart, D.Stochstic calculus with respect to fractional Brownian motion with Hurst paprameter lesser that 1/2Stochastic Processes and Their Applications,2000.

引证文献2

浙江科技学院学报
2012年 第1期

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