分数布朗运动环境中几何平均亚式期权的定价

J4 ›› 2013, Vol. 48 ›› Issue (3): 48-52.

分数布朗运动环境中几何平均亚式期权的定价

沈明轩1,何朝林2

1. 安徽工程大学数理学院, 安徽芜湖 241000; 2. 安徽工程大学管理学院, 安徽芜湖 241000

收稿日期:2012-09-04 出版日期:2013-03-20 发布日期:2013-03-14
作者简介:沈明轩(1982- ),男,讲师,硕士,研究方向为金融数学、随机过程.Email:smx1011@163.com
基金资助:
国家自然科学基金资助项目(71271003,71171003);教育部人文社会科学研究规划基金资助项目(12YJA790041);安徽省自然科学基金资助项目(1208085MG116);安徽工程大学青年基金资助项目(2008YQ048)

Geometric average asian option pricing in fractional brownian environment

SHEN Ming-xuan1, HE Chao-lin2

1. School of Mathematics and Physics, Anhui Polytechnic University, Wuhu 241000, Anhui, China;
2. School of Management Engineering, Anhui Polytechnic University, Wuhu 241000, Anhui, China

Received:2012-09-04 Online:2013-03-20 Published:2013-03-14

摘要/Abstract

摘要：

假设股票价格受分数布朗运动驱动下,利用拟条件期望的方法,得到了浮动执行价格的几何平均亚式期权定价公式。

关键词: 几何平均;分数布朗;亚式期权;浮动执行价格

Abstract:

Under the assumption that the stock pricing processes obeys the stochastic differential equation driven by fractional Brownian motion, the pricing formula of geometric average Asian option with floated-strike was obtained by using the quasi-conditional expectation.

Key words: geometric average; fractional Brownian motion; Asian options; floated-strike

沈明轩1,何朝林2. 分数布朗运动环境中几何平均亚式期权的定价[J]. J4, 2013, 48(3): 48-52.

SHEN Ming-xuan1, HE Chao-lin2. Geometric average asian option pricing in fractional brownian environment[J]. J4, 2013, 48(3): 48-52.

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