| 标的资产服从分数布朗运动的权证定价及实证分析 |
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| 引用本文： | 程中华,于世良.标的资产服从分数布朗运动的权证定价及实证分析[J].泰山学院学报,2010,32(6):24-29. |
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| 作者姓名： | 程中华 于世良 |
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| 作者单位： | [1]泰山学院经济管理系 [2]泰山学院中小企业研究所,山东泰安271021 |
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| 摘 要： | 在标的资产服从几何分数布朗运动模型假设下,通过关于分数布朗运动的随机分析理论,在对市场无任何其它条件假设下,利用无套利理论和自融资策略求出了在标的资产由红利支付时的欧式未定权益的一般定价公式,并由此得到了欧式认购权证和欧式认沽权证的具体定价公式以及其套期保值策略,并联系四川长虹认购权证给出了实证分析.
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| 关 键 词： | 分数布朗运动 欧式未定权益 欧式权证 四川长虹认股权证 |
Pricing of Warrant When Underlying Asset Price Submitting to Geometric Fractional Brownian Motion and Empirical Analysis |
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| CHENG Zhong-hua,YU Shi-liang.Pricing of Warrant When Underlying Asset Price Submitting to Geometric Fractional Brownian Motion and Empirical Analysis[J].Journal of Taishan University,2010,32(6):24-29. |
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| Authors: | CHENG Zhong-hua YU Shi-liang |
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| Institution: | 1.Department of Economics and Management,Taishan University;2.Institute of SME,Taishan University,Tai＇an,271021,China) |
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| Abstract: | By means of stochastic analysis theory related to Fractional Brownian motion,without any other market assumption,under the hypotheses of underlying asset price submitting to Geometric Fractional Brownian motion,using no-arbitrage theory and self-financing method we obtain the generalized pricing formula of European contingent claim and the prices of European Call and Put Warrant,and we also get the hedging method.Finally,using ChanghongCWB1 we get the empirical analysis. |
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| Keywords: | Fractional Brownian motion European contingent claim European warrant CWB1 |
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