| 分数布朗运动下带红利的欧式期权定价 |
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| 引用本文： | 李蕊.分数布朗运动下带红利的欧式期权定价[J].兰州理工大学学报,2012,38(4):162-164. |
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| 作者姓名： | 李蕊 |
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| 作者单位： | 青海大学成人教育学院,青海西宁,810001 |
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| 摘 要： | 基于股票价格遵循有分数布朗运动驱动的分数阶随机微分方程.运用Black-Scholes方程理论建立带红利的欧式看涨期权定价模型,根据分数阶随机微分方程理论将方程的求解问题转化为偏微分方程的求解问题,给出期权定价的解析解.
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| 关 键 词： | 欧式期权定价 分数阶随机微分方程 分数阶高斯白噪音 分数B-S方程 分数布朗运动 |
European option pricing with dividend and fractional Brown motion |
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| LI Rui.European option pricing with dividend and fractional Brown motion[J].Journal of Lanzhou University of Technology,2012,38(4):162-164. |
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| Authors: | LI Rui |
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| Institution: | LI Rui(School of Adult Education,Qinghai University,Xining 810001,China) |
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| Abstract: | A basis was taken that the stock price should obey fractional-oder stochastic differential equations with the driving of fractional Brown motion.By using Black-Scholes equation and theory,an European option pricing model with expected price rising was established.Then the solution of the fractional-order stochastic differential equations was transformed into solving a partial differential equation and an analytic solution was given for the option pricing. |
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| Keywords: | European option pricing fractional-order stochastic differential equation fractional-order Gaussian white noise fractional B-S equation fractional Brown motion |
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