分数次布朗运动的欧式障碍期权定价  

PRICING OF EUROPEAN BARRIER OPTIONS IN A FRACTIONAL BROWNIAN MOTION

作　　者：霍海峰[1] 温鲜[2] 邓国和[2] 

机构地区：[1]广西工学院鹿山学院基础教学部,广西柳州545616 [2]广西师范大学数学科学学院,广西桂林541004

出　　处：《经济数学》2009年第4期97-103,共7页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(40675023);广西自然科学基金资助项目(桂科自0991091);广西研究生教育创新计划项目(2009106020701M33)

摘　　要：假定标的股票服从分数次布朗运动,应用偏微分方程的方法求出下降敲出欧式看涨障碍期权价格显示解,以及看涨-看跌的平价关系式.最后,通过有限差分法比较了显示解的准确性,分析了Hurst参数对期权价格和风险特征参数的影响.The pricing problem of an European Barrier option was considered in a fractional Black-Scholes model,and the underlying asset price was assumed to satisfy a geometric fractional Brownian motion.The closed-form solution of this option was obtained by using the change approach of variables and partial differential equation.We also provided a call-put parity relation and some examples.Finally,some numerical examples using the finite difference method were provided to verify these conclusions.

关 键 词：分数次布朗运动 障碍期权 PDE 

分 类 号：O211.67[理学—概率论与数理统计]