分数型欧式期权定价模型  

Fractional European option pricing model

作　　者：孙玉东[1] 薛红[1] 

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《纺织高校基础科学学报》2009年第2期204-206,共3页Basic Sciences Journal of Textile Universities

基　　金：陕西省教育厅自然科学专项基金资助项目(07JK252)

摘　　要：运用偏微分方程的方法对欧式期权定价进行了推广.在假定无风险利率、股票波动率以及股票红利率都为时间t的函数,利用金融市场复制策略及分数布朗运动的It公式,得到欧式未定权益的一般B lack-Scholes偏微分方程,并通过求解偏微分方程获得欧式期权定价公式.Using partial differential equation method, the result of European option pricing is generalized. In this paper,it was supposed that the riskless interest rate, the volatility rate and the stock dividend rate are time function. By the self-financing strategy and ho formula of fractional Brownian motion, the general Black-Scholes partial differential equations for European claim and pricing formula for European option are obtained.

关 键 词：分数布朗运动 期权定价 红利 

分 类 号：O211[理学—概率论与数理统计] F830[理学—数学]