分数布朗运动下的回望期权定价  

Study on the valuation of lookback option using fractional Brownian motion

作　　者：桑利恒[1] 杜雪樵[1] 

机构地区：[1]合肥工业大学数学学院,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2010年第5期797-800,共4页Journal of Hefei University of Technology：Natural Science

摘　　要：文章利用分数布朗运动研究了一种强路径依赖型期权——回望期权的定价问题,首先给出了关于分数布朗运动的Itó公式,其次利用该公式建立了分数布朗运动情况下的价格模型,得到了回望期权价格所满足的微分方程,最后分别给出了看跌回望期权和看涨回望期权定价公式的显式解。This paper discusses the pricing of the lookback option using the fractional Brownian motion,which is a kind of path-dependent option.First the Itó formula for fractional Brownian motion is proposed.Then the differential equation,which meets the lookback option price,is gained by the price model established under fractional Brownian motion environment based on the formula.Finally the explicit solutions of lookback put option price formula and lookback call option price formula are shown respectively.

关 键 词：分数布朗运动 Itó公式 回望期权 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]