| 基于分数布朗运动的脆弱欧式期权的风险值分析 |
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| 引用本文： | 梁岩,张兴永,黄玲君,胡素敏.基于分数布朗运动的脆弱欧式期权的风险值分析[J].贵州大学学报(自然科学版),2010,27(6):135-139. |
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| 作者姓名： | 梁岩 张兴永 黄玲君 胡素敏 |
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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资金项目，中国矿业大学科技专项基金 |
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| 摘 要： | 本文在股票价格、公司价值和公司负债均服从分数布朗运动条件下,初步探讨欧式股票期权的VaR（Value at Risk）CVaR（Conditional VaR）的计算问题,推导了该期权VaR和CVaR的计算公式。
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| 关 键 词： | 脆弱期权 分数布朗运动 VaR CVaR |
Risk Value Analysis of Fragile European Option under Fractional Brownian Motion |
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| LIANG Yan,ZHANG Xing-yong,HUANG Ling-jun,HU Su-min.Risk Value Analysis of Fragile European Option under Fractional Brownian Motion[J].Journal of Guizhou University(Natural Science),2010,27(6):135-139. |
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| Authors: | LIANG Yan ZHANG Xing-yong HUANG Ling-jun HU Su-min |
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| Institution: | (College of Sciences,China University of Mining and Technology,Xuzhou 221116,China) |
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| Abstract: | On the condition that the stock prices,the company value and the company debt follow the fractional Brownian motion,the calculation of Value at Risk（VaR） and CVaR（Conditional VaR） of fragile European stock option were discussed.And the calculation formula of the VaR and CVaR were derived. |
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| Keywords: | fragile options Fractional Brownian motion VaR CVaR |
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