分数布朗运动环境中欧式未定权益的定价

Pricing of European Contingent Claim in Fractional Brownian Motion Environment

  • 摘要: 本文在标的资产价格服从几何分数布朗运动模型假设下,求出了在标的资产有红利支付时的欧式未定权益的一般定价公式及几种奇异期权的定价公式.

     

    Abstract: Under the hypothesis of underlying asset price submitting to Geometric Fractional Brownian Motion, we obtain the generalized pricing formula of European contingent claim and the prices of some exotic options.

     

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