分数布朗运动环境下多资产的最大值期权定价
The Maximum Option Pricing for Assets in Fractional Brownian Motion Environment

利用拟条件数学期望理论研究分数布朗运动环境下的期权定价问题,得到相同假设条件下的n维分数布朗运动环境下多种标的资产的最大值期权定价模型,推广了最大值期权模型,使应用更为广泛.
The pricing issues of options in the fractional Brownian motion environment are researched by quasi conditional mathematical expectation theory. The maximum option pricing model with kinds of underlying assets in n fractional Brownian motion environment under fractional risk neutral measure is obstained, which extend the pricing of maximum options and put into use widely