分数几何布朗运动环境下幂型支付期权的保险精算定价  

Actuarial Pricing of Power Payoff Options in Fractional Geometric Brownian Motion Environment

作　　者：唐奎[1] 杜燕[1] 张志恒[2] 

机构地区：[1]重庆理工大学数学与统计学院,重庆400050 [2]重庆理工大学会计学院,重庆400050

出　　处：《重庆理工大学学报（社会科学）》2010年第6期33-37,共5页Journal of Chongqing University of Technology（Social Science）

摘　　要：假定标的资产价格服从分数几何布朗运动,在无风险利率、标的资产期望收益率和波动率为常数的条件下,利用保险精算思想,通过公平保费原理推导出欧式看涨期权和幂型支付的欧式看涨期权的定价公式,该公式是Black-Scholes公式的推广。同时利用保险精算定价方法也容易推出无风险利率、标的资产期望收益率和波动率为时间相依函数条件下的期权定价公式。Supposing the underlying asset price follows fractional geometric Brownian motion, under the condition of no risk interests and that underlying expected asset returns and fluctuation rate are constants, with the help of actuarial ideas and fair premium principle, the pricing formula for European call option and power payoff European call option can be deduced, which is a popularization of Blaek-Seholes formula. Meanwhile, actuarial pricing method can be used to deduce the pricing formula for options under the condition of no risk interests and that underlying expected asset returns and fluctuation rate are functions with time.

关 键 词：分数几何布朗运动 幂型期权 保险精算定价 

分 类 号：F840[经济管理—保险]