摘要
研究了混合分数布朗运动环境下的几何平均亚式期权的定价问题.假设股票价格在分数布朗运动和布朗运动的共同驱动下,利用拟条件期望方法,得到了幂型几何平均亚式期权的定价公式.并将其推广到有红利支付情形下的几何平均亚式期权定价.
The problem of pricing geometric average Asian option in mixed fractional t3rownian motion environment is considered. Under the assumption that the stock pricing processes obeys the stochastic differential equation driven by mixed fractional Brownian motion, we obtain the pricing formula of power geometric average Asian option by quasi-conditional expectation. We also extend the pricing of geometric average Asian option with dividend.
出处
《东北师大学报（自然科学版）》
CAS
CSCD
北大核心
2015年第2期40-44,共5页
Journal of Northeast Normal University(Natural Science Edition)
基金
国家自然科学基金资助项目(71271003)
安徽省自然科学基金资助项目(1208085MG116)
关键词
分数布朗运动
几何平均
亚式期权
期权定价
fractional Brownian motion
geometric average
asian options
option pricing
