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| 多维分数次Black-Scholes模型中欧式未定权的定价 | |
| 引用本文： | 刘韶跃,丛金明,杨向群.多维分数次Black-Scholes模型中欧式未定权的定价[J].湖南大学学报(自然科学版),2006,33(3):128-131. |
| 作者姓名： | 刘韶跃 丛金明 杨向群 |
| 作者单位： | 1. 湘潭大学,数学与计算科学学院,湖南,湘潭,411105 2. 济南大学,理学院,山东,济南,250022 3. 湖南师范大学,数学与计算机科学学院,湖南,长沙,410081 |
| 基金项目： | 高校博士点专项科研基金资助项目(20040542006)，湖南省青年骨干教师培养经费资助项目 |
| 摘 要： | 讨论了具有任意Hurst参数的多维分数次Black-Scholes模型中欧式未定权益的定价,首先得到了未定权益在到期前任意时刻的分数次风险中性定价,然后求出了欧式未定权益在单资产多噪声、多资产单噪声、多资产多噪声等情形下的定价公式. |
| 关 键 词： | 分数次布朗运动 欧式未定权益 多维分数次Black-Scholes模型 |
| 文章编号： | 1000-2472（2006）03-0128-04 |
| 收稿时间： | 05 28 2005 12:00AM |
| 修稿时间： | 2005-05-28 |
Pricing of European Contingent Claim in Multi-dimensional Fractional Black-Schloes Model |
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| LIU Shao-yue,CONG Jin-ming,YANG Xiang-qun.Pricing of European Contingent Claim in Multi-dimensional Fractional Black-Schloes Model[J].Journal of Hunan University(Naturnal Science),2006,33(3):128-131. | |
| Authors: | LIU Shao-yue CONG Jin-ming YANG Xiang-qun |
| Institution: | 1. School of Mathematics and Computational Science,Hunan, Xiangtan Univ,Xiangtan,Hunan 411105 ,China; 2. School of Science, Jinan Univ, Jinan, Shandang 250022,China; 3. College of Mathematics and Computer Science, Hunan Normal Univ, Changsha, Hunan 410081,China |
| Abstract: | We discussed the pricing of European contingent claim in Multi-dimensional Fractional Black-Schloes model with arbitrary Hurst parameter.First,we obtained the fractional risk neutral pricing formula of contingent claim at arbitrary time before the expiration time.Then,we obtained the pricing formulas of European contingent claim in singal asset and multi-noise,multi-asset and singal noise,multi-asset and multi-noise respectively. |
| Keywords: | factional Brownian motion european contingent claim multidimensional fractional black-sehloes model |
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