混合分数布朗运动下一类欧式回望期权定价

J4 ›› 2012, Vol. 47 ›› Issue (9): 105-109.

混合分数布朗运动下一类欧式回望期权定价

杨朝强

兰州交通大学数理与软件工程学院, 甘肃兰州 730070

收稿日期:2011-07-20 出版日期:2012-09-20 发布日期:2012-09-24
作者简介:杨朝强(1984- ),男,硕士研究生,主要研究方向为随机过程及应用. Email:woyuyanjiang@163.com

A kind European lookback option pricing model in mixed fractional Brownian motion environment

YANG Zhao-qiang

School of Mathematics and Software Engineering, Lanzhou Jiaotong University, Lanzhou 730070, Gansu, China

Received:2011-07-20 Online:2012-09-20 Published:2012-09-24

摘要/Abstract

摘要：

利用Itó公式获得了混合分数布朗运动环境下的价格模型,并确定了回望期权价格所满足的随机微分方程,深入研究了欧式浮动履约价的定价模型,证明了欧式浮动履约价的看涨回望期权和看跌回望期权定价公式。

关键词: 混合分数布朗运动; 欧式回望期权; Itó公式; 定价模型

Abstract:

The price model under the It óf ormula for mixed fractional Brownian motion was proposed. Then the stochastic differential equation for mixed fractional Brownian motion was obtained by the price model, which meets the pricing model for the European floating strike price of the lookback option. The pricing formulas of floating strike lookback call option and lookback put option were proved.

Key words: mixed fractional Brownian motion; European lookback option; Itó formula; pricing model

杨朝强. 混合分数布朗运动下一类欧式回望期权定价[J]. J4, 2012, 47(9): 105-109.

YANG Zhao-qiang. A kind European lookback option pricing model in mixed fractional Brownian motion environment[J]. J4, 2012, 47(9): 105-109.

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