| 分数布朗运动环境下的欧式期权定价 |
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| 引用本文： | 徐峰.分数布朗运动环境下的欧式期权定价[J].苏州市职业大学学报,2009,20(1):89-92. |
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| 作者姓名： | 徐峰 |
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| 作者单位： | 苏州市职业大学,经贸系,江苏,苏州,215104 |
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| 摘 要： | 在标的资产的价格服从几何分数布朗运动模型假设下，运用Esscher变换的思想，求出了在无风险利率和红利率均为时间t的非随机函数下欧式期权的定价公式，该结论与刘韶跃和杨向群在《分数布朗运动环境中标的资产有红利支付的欧式期权定价》中得出的公式一致．
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| 关 键 词： | 分数布朗运动 Esscher变换 定价 红利 |
Pricing of European Option in a Fractional Brownian Motion Environment |
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| XU Feng.Pricing of European Option in a Fractional Brownian Motion Environment[J].Journal of Suzhou Vocational University,2009,20(1):89-92. |
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| Authors: | XU Feng |
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| Institution: | XU Feng (Department of Economics and Trade, Suzhou Vocational University, Suzhou 215104, China) |
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| Abstract: | Under the premise that stock price change follows Geometric Fractional Brownian Motion and based on the method of Esscher transform, this paper presents the formula to calculate the price of European option when the no-risk interest rate and dividend-yield rate of the stock are nonrandom functions of the time. The conclusion of this paper is consistent with Pricing of European Option on Dividend-paying Stock in a Fractional Brownian Motion Enviroment of Liu Shaoyue and Yang Xiangqun. |
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| Keywords: | fractional brownian motion Esscher transforms pricing dividend |
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