摘要
假定股票价格遵循分数布朗运动驱动的随机微分方程,利率满足由分数布朗运动驱动的Vasicek模型.利用分数布朗运动随机分析与方法,建立了随机利率下金融市场数学模型,得到了此模型下复合期权的定价公式.
It was supposed that stock price process followed stochastic differential equation driven by fractional Brownian motion , and interest rate met the Vasicek model driven by frac-tional Brownian motion .The mathematic model of financed market with stochastic interest rate was developed and the pricing formula for compound option was obtained by fractional Brownian motion stochastic analysis theory and method .
出处
《哈尔滨商业大学学报（自然科学版）》
CAS
2014年第1期97-102,共6页
Journal of Harbin University of Commerce：Natural Sciences Edition
基金
陕西省教育厅自然科学专项基金项目(12JK0862)
关键词
分数布朗运动
复合期权
随机利率
fractional Brownian motion
compound option
stochastic interest rate
