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OALib Journal期刊
ISSN: 2333-9721
费用：99美元
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股价受分数布朗运动驱动的混合期权定价模型
, PP. 6-10
Keywords: 分数布朗运动,拟鞅定价,分数black-scholes模型,混合期权
Abstract:
分数布朗运动由于具有自相似和长期相关等分形特性,已成为数理金融研究中更为合适的工具.本文通过假定股票价格服从几何分数布朗运动,构建了it分数black-scholes市场;接着在分数风险中性测度下,利用随机微分方程和拟鞅(quasi-martingale)定价方法给出了分数black-scholes定价模型;进而讨论了股价受分数布朗运动驱动的混合期权定价模型.研究结果表明,与标准期权价格相比,分数期权价格要同时取决于到期日和hurst参数.
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