| Vasicek模型下的分数布朗运动模型的欧式期权定价 |
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| 引用本文： | 闫传鹏.Vasicek模型下的分数布朗运动模型的欧式期权定价[J].浙江科技学院学报,2012(1):1-5. |
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| 作者姓名： | 闫传鹏 |
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| 作者单位： | 浙江科技学院理学院 |
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| 摘 要： | 在Vasicek模型下,利用Δ-对冲和资产价格服从分数布朗运动(FBM)的逼近过程的方法,获得了欧式期权定价模型,并得到了其解析式,改进了经典的Black-Scholes公式。
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| 关 键 词： | 分数布朗运动 零息债券 随机利率 期权定价 |
European options pricing of FBM based on Vasicek model |
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| YAN Chuan-peng.European options pricing of FBM based on Vasicek model[J].Journal of Zhejiang University of Science and Technology,2012(1):1-5. |
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| Authors: | YAN Chuan-peng |
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| Institution: | YAN Chuan-peng(School of Sciences,Zhejiang University of Science and Technology,Hangzhou 310023,China) |
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| Abstract: | European options pricing model is obtained under Vasicek model by using the methods of Δ-hedging and approximation process of assets price which is driven by fractional Brownian motion(FBM),and the close formula is also given.As a result,the classical Black-Scholes formula is improved. |
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| Keywords: | fractional Brownian motion zero coupon bonds stochastic interest rate option pricing |
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