基于鞅方法的分数Brown运动模型的期权定价  

Options Valuating of FBM Model Based on the Martingale Method

作　　者：梅正阳[1] 杨玉孔[1] 

机构地区：[1]华中科技大学数学与统计学院,湖北武汉430074

出　　处：《应用数学》2008年第4期727-730,共4页Mathematica Applicata

摘　　要：本文利用基础资产价格过程的逼近过程,研究了一类Hurst指数属于(1/2,1)的分数Brown运动模型,通过逼近过程的鞅性,获得了FBM市场的等价鞅测度通过鞅测度变换获得了FBM下的期权定价控制方程和欧式期权的解析公式,改进了部分已有的结果.In this paper,a fractional Brownian motion model which Hurst index belongs to （1/2,1） has been studied by using the martingale property of an approximate stochastic process. The equivalent martingale measure of FBM approximate market has been found,the control equation and close solution of Europe options has been obtained. These results improved some conclusions.

关 键 词：HURST指数 分数Brown运动 等价鞅测度 期权定价 

分 类 号：F830.9[经济管理—金融学] O211.62[理学—概率论与数理统计]