| 基于分数布朗运动的脆弱欧式看涨期权的风险值分析 |
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| 引用本文： | 梁岩,张兴永,李正杰,牛成虎.基于分数布朗运动的脆弱欧式看涨期权的风险值分析[J].徐州师范大学学报(自然科学版),2011,29(1):49-51. |
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| 作者姓名： | 梁岩 张兴永 李正杰 牛成虎 |
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| 作者单位： | 中国矿业大学,理学院,江苏,徐州,221116 |
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| 基金项目： | 中央高校基本科研业务费专项资金资助项目(2010LKSX03); 中国矿业大学科技专项基金资助项目(OZK4566) |
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| 摘 要： | 在股票价格、公司价值均服从分数布朗运动,公司负债为常数的条件下,讨论脆弱欧式股票看涨期权的风险价值(value at risk,VaR)和条件风险价值(conditional value at risk,CVaR)的计算问题,并推导了该期权的VaR和CVaR的计算公式.
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| 关 键 词： | 脆弱期权 分数布朗运动 风险价值 条件风险价值 |
Analysis on the value at risk of fragile European call option under fractional Brownian motion |
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| Liang Yan,Zhang Xingyong,Li Zhengjie,Niu Chenghu.Analysis on the value at risk of fragile European call option under fractional Brownian motion[J].Journal of Xuzhou Normal University(Natural Science Edition),2011,29(1):49-51. |
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| Authors: | Liang Yan Zhang Xingyong Li Zhengjie Niu Chenghu |
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| Institution: | Liang Yan,Zhang Xingyong,Li Zhengjie,Niu Chenghu(College of Sciences,China University of Mining & Technology,Xuzhou 221116,Jiangsu,China) |
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| Abstract: | On condition that both the stock prices and the company value follow the fractional Brownian motion and the debt of company is constant,the problem about calculation of value at risk(VaR) and conditional VaR(CVaR) of fragile European call option is discussed,and the calculation formulas of the VaR and CVaR are derived. |
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| Keywords: | fragile option fractional Brownian motion VaR CVaR |
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