分数布朗运动环境中应用鞅方法定价欧式期权  

Pricing power payoffs european options by applying martingale method in environment of fractional brownian motion

作　　者：于艳娜[1] 孔繁亮[1] 

机构地区：[1]哈尔滨理工大学应用科学学院,哈尔滨150080

出　　处：《哈尔滨商业大学学报（自然科学版）》2010年第4期433-435,共3页Journal of Harbin University of Commerce：Natural Sciences Edition

基　　金：国家自然科学基金(10771046)

摘　　要：利用分数布朗运动代替标准布朗运动进行欧式期权定价研究,应用鞅方法推导了到期时刻期权支付函数为幂型的欧式期权的定价,得到在分数布朗运动环境下,具有不同借贷利率的幂型欧式看跌期权的定价公式.丰富了已有期权定价结果,使期权定价公式更贴近于实际.By utilizing fractional Brownian motion instead of the standard Brownian motion,this paper makes a research on European option pricing,by applying martingale method the time of option expiration is derived payoff function for the power of European option pricing model,this paper obtains the power payoffs European put option pricing formula with different Borrow-lending rate in the environment of fractional Brownian motion.It enrich the existing option pricing results,which make option pricing formula much closer to the fact.

关 键 词：等价鞅测度 分数布朗运动 幂型欧式期权 

分 类 号：F830.9[经济管理—金融学]