| 基于跳扩散分数布朗运动的脆弱欧式期权定价 |
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| 引用本文： | 黄玲君,周圣武,陈春香. 基于跳扩散分数布朗运动的脆弱欧式期权定价[J]. 四川理工学院学报(自然科学版), 2011, 24(1): 51-53 |
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| 作者姓名： | 黄玲君 周圣武 陈春香 |
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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基金 |
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| 摘 要： | 文章研究基于分数布朗运动的脆弱欧式股票期权定价问题。在股票价格服从分数跳-扩散过程,公司价值服从分数布朗运动,公司负债为常数的条件下,应用风险中性定价原理,导出了脆弱欧式股票期权的定价公式。
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| 关 键 词： | 跳-扩散过程 脆弱期权 分数布朗运动 定价 |
Pricing of Vulnerable European Options with Stock Price Following Fractional Brownian Motion and Jump Diffusion Process |
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| HUANG Ling-jun,ZHOU Sheng-wu,CHENG Chun-xiang. Pricing of Vulnerable European Options with Stock Price Following Fractional Brownian Motion and Jump Diffusion Process[J]. Journal of Sichuan University of Science & Engineering(Natural Science Editton), 2011, 24(1): 51-53 |
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| Authors: | HUANG Ling-jun ZHOU Sheng-wu CHENG Chun-xiang |
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| Affiliation: | HUANG Ling-jun,ZHOU Sheng-wu,CHENG Chun-xiang(College of Science,China University of Mining and Technology,Xuzhou 221116,China) |
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| Abstract: | In this paper Fractional Brownian Motion model is employed to price the Vulnerable European stock Options.Under the hypothesis of stock price submitted to Fractional Jump Diffusion Process,corporation value submitted to Fractional Brownian Motion,and Corporation debt is a constant,by using the risk neutral valuation principle,the pricing formulae of Vulnerable European stock Options is obtained. |
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| Keywords: | Jump-Diffusion Process Vulnerable Options Fractional Brownian Motion pricing |
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