[1]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(04):21.[doi:10.3969/j.issn.1001-4616.2017.04.005]
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双分数布朗运动驱动的降低权利金权证定价()
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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40卷
期数:
2017年04期
页码:
21
栏目:
·数学与计算机科学·
出版日期:
2017-12-30

文章信息/Info

Title:
Research on Depressed Option Pricing Driven byBifractional Brownian Motion
文章编号:
1001-4616(2017)04-0021-05
作者:
赵 巍
淮海工学院商学院,江苏 连云港 222005
Author(s):
Zhao Wei
School of Business,Huaihai Institute of Technology,Lianyungang 222005,China
关键词:
双分数布朗运动; 拟鞅; 双分数Black-Scholes模型; 降低权利金
Keywords:
bifractional Brownian motion; Quasi-martingale; bifractional Black-Scholes model; depressed option
分类号:
F830.9
DOI:
10.3969/j.issn.1001-4616.2017.04.005
文献标志码:
A
摘要:
双分数布朗运动能满足分形特征,同时在一定条件下能够满足半鞅,已替代分数布朗运动成为数理金融研究中更为合适的工具. 在双分数布朗运动假定下,基于拟鞅定价思路给出了双分数Black-Scholes定价模型的解析解; 随后,着重讨论了双分数布朗运动环境下的降低权利金权证定价问题,使分数布朗运动和标准布朗运动驱动的定价模型都成为其特例. 本文研究方法对求解各类扩展的布朗运动族驱动的定价模型都具有借鉴价值.
Abstract:
Considering of fractional character,Brownian motion is non-reasonable for basic assumption to option pricing model. Fractional Brownian motion suit for the fractional property of financial assets,but it is not a semi-martingale lead to failure to apply stochastic analysis. This paper sets the assert price followed bifractional Brownian motion,and construct quasi-martingale method under the risk neutral measure to solve bifractional Black-Scholes model and two kinds of depressed option by the same way. The results show bifractional Brownian motion and standard Brownian motion become a special example,and the method is important significance of option pricing diven by many kinds of modified Brownian motion.

参考文献/References:

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相似文献/References:

[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.
　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(04):11.

备注/Memo

备注/Memo:
收稿日期:2016-06-18.
基金项目:江苏省高校哲学社会科学基金项目(2017SJB1685).
通讯联系人:赵巍,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: 2017-12-30