分数布朗运动下的可分离债券定价  

Pricing of Bond with Attached Warrant Under Fractional

作　　者：李军[1] 薛红[1] 马惠馨[1] 

机构地区：[1]西安工程大学理学院,西安710048

出　　处：《四川理工学院学报（自然科学版）》2010年第6期660-662,665,共4页Journal of Sichuan University of Science & Engineering(Natural Science Edition)

基　　金：陕西省教育厅自然科学专项基金资助项目(09JK464)

摘　　要：假定股票价格服从分数布朗运动,且无风险利率为时间的确定性函数,股票价格的波动率为常数。利用分数布朗运动随机分析理论与方法,建立股票价格服从分数布朗运动的金融市场数学模型,并得到了可分离债券的定价公式。Stocks price process is driven by fractional process, and risk-less rate is definited continuous function of time, the fluctuating rate is a constant. The pricing model of bond with attached warrant under fractional is built by fractional Brownian motion stochastic analysis theory and method, and the pricing formula of bond with attached warrant is obtained.

关 键 词：分数布朗运动 可分离债券定价 随机分析 

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