[1]赵巍.分数布朗运动环境下降低权利金的权证定价研究[J].南京师范大学学报(自然科学版),2012,35(03):11-16.
 Zhao Wei.Research on Pricing of Depressed Option Stock Under Fractional Brownian Motion Environment[J].Journal of Nanjing Normal University(Natural Science Edition),2012,35(03):11-16.
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分数布朗运动环境下降低权利金的权证定价研究()
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《南京师范大学学报》(自然科学版)[ISSN:1001-4616/CN:32-1239/N]

卷:
第35卷
期数:
2012年03期
页码:
11-16
栏目:
数学
出版日期:
2012-09-20

文章信息/Info

Title:
Research on Pricing of Depressed Option Stock Under Fractional Brownian Motion Environment
作者:
赵巍;
淮海工学院商学院,江苏连云港222001
Author(s):
Zhao Wei
School of Business,Huaihai Institute of Technology,Lianyungang 222001,China
关键词:
分数布朗运动拟鞅分数Black-Scholes 模型降低权利金
Keywords:
fractional Brownian motionquasi-martingalefractional Black-Scholes modeldepressed option
分类号:
F830.91;F224
摘要:
证券市场分形特征的存在,否定了布朗运动作为期权定价模型初始假定的合理性.本文从标的资产服从分数布朗运动假定出发,构建分数风险测度下的拟鞅定价策略,简化了分数Black-Scholes模型的求解过程;以此为基础,研究支付型和抵付型两类降低权利金的权证定价问题,得到了分数布朗运动驱动的降低权利金权证定价公式.
Abstract:
Considering of fractional character,Brownian motion is non-reasonable for basic assumption to option pricing model. This paper sets the assert price followed fractional Brownian motion to construct quasi-martingale method under the risk neutral measure,which can simplify the proceeding of solving fractional Black-Scholes. Furthermore,this paper solves two kinds of depressed option by the same way and gets the pricing equation driven by FBM.

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相似文献/References:

[1]赵巍.股价受分数布朗运动驱动的混合期权定价模型[J].南京师范大学学报(自然科学版),2010,33(01):6.
 Zhao Wei.Pricing of Compound Option Model With Stock Price Driven by FBM[J].Journal of Nanjing Normal University(Natural Science Edition),2010,33(03):6.
[2]赵 巍.双分数布朗运动驱动的降低权利金权证定价[J].南京师范大学学报(自然科学版),2017,40(04):21.[doi:10.3969/j.issn.1001-4616.2017.04.005]
 Zhao Wei.Research on Depressed Option Pricing Driven byBifractional Brownian Motion[J].Journal of Nanjing Normal University(Natural Science Edition),2017,40(03):21.[doi:10.3969/j.issn.1001-4616.2017.04.005]

备注/Memo

备注/Memo:
通讯联系人: 赵巍,博士,副教授,研究方向: 金融工程与金融复杂性. E-mail: njzhaow@126. com
更新日期/Last Update: 2013-03-11