| 分数布朗运动环境中2种新型权证的定价 |
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| 引用本文： | 王剑君.分数布朗运动环境中2种新型权证的定价[J].合肥工业大学学报(自然科学版),2010,33(3). |
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| 作者姓名： | 王剑君 |
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| 作者单位： | 湖南工程学院,理学院,湖南,湘潭,411104 |
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| 基金项目： | 湖南省教育厅科研资助项目 |
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| 摘 要： | 文章首先对分数布朗运动和几何分数布朗运动作了简要的介绍,然后利用几何分数布朗运动模型来描述金融价格的变动;在标的资产服从几何分数布朗运动模型的假设下,利用标的资产有红利支付的欧式未定权益的一般定价公式,求出了2种新型权证的定价公式。
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| 关 键 词： | 分数布朗运动 几何分数布朗运动 欧式未定权益 新奇选择权 |
Pricing of two kinds of exotic options in Fractional Brownian Motion environment |
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| WANG Jian-jun.Pricing of two kinds of exotic options in Fractional Brownian Motion environment[J].Journal of Hefei University of Technology(Natural Science),2010,33(3). |
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| Authors: | WANG Jian-jun |
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| Abstract: | In this paper Fractional Brownian Motion and Geometric Fractional Brownian Motion are briefly introduced at first. Then Geometric Fractional Brownian Motion model is employed to describe the changes of the prices of financial instrument. Under the hypothesis of underlying asset price submitted to Geometric Fractional Brownian Motion, the pricing formulas of two kinds of exotic options are obtained by means of the generalized pricing formula of European contingent claim. |
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| Keywords: | Fractional Brownian Motion Geometric Fractional Brownian Motion European contingent claim exotic option |
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