| 分数次布朗运动下脆弱欧式期权定价的新解法 |
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| 引用本文： | 潘坚.分数次布朗运动下脆弱欧式期权定价的新解法[J].赣南师范学院学报,2012,33(3):14-18. |
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| 作者姓名： | 潘坚 |
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| 作者单位： | 赣南师范学院数学与计算机科学学院,江西赣州,341000 |
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| 基金项目： | 江西省自然科学青年基金资助项目(2009GZS0007) |
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| 摘 要： | 在股票价格、公司价值均服从分数次布朗运动且相关的条件下，利用△对，中方法导出脆弱欧式期权的定价模型，并利用偏微分方程方法得到其显式定价公式．
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| 关 键 词： | 分数次布朗运动 脆弱期权 偏微分方程方法 |
A New Method for Pricing of Vulnerable European Options under the Fractional Brownian Motion |
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| PAN Jian.A New Method for Pricing of Vulnerable European Options under the Fractional Brownian Motion[J].Journal of Gannan Teachers' College(Social Science(2)),2012,33(3):14-18. |
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| Authors: | PAN Jian |
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| Institution: | PAN Jian(School of Mathmatics and Computer Science,Gannan Normal University,Ganzhou 341000,China) |
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| Abstract: | Under the hypothesis of both stock price and corporation value submitted to fractional Brownian motion and correlation,a model for pricing of vulnerable European options is derived according to hedging techniques.Furthemore,the formulae of pricing is also given out by the method of partial differential equation. |
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| Keywords: | fractional brownian motion vulnerable european options PDE methods |
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