分数布朗运动下的亚式期权定价  

Asian option pricing by fractional Brownian motion

作　　者：周银[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）》2011年第2期317-320,共4页Journal of Hefei University of Technology：Natural Science

摘　　要：Mogens Bladt和Tina Hviid Rydberg的无市场假设仅利用价格过程的实际概率测度的期权保险精算定价模型,文章在标的资产服从分数布朗运动的环境下,借助保险精算的方法,给出亚式期权的定价公式,进一步论证了几何布朗运动是分数布朗运动的一种特殊情况,可以基于分数布朗运动推广原有模型。Without market assumptions,Mogens Bladt and Tina Hviid Rydberg use merely probability measure of price process and actuarial considerations for pricing options.Based on their study and using the method of actuarial pricing,this paper obtains Asian option pricing formula when underlying assets are driven by fractional Brownian motion.And the paper concludes that the geometric Brownian motion is a special case of fractional Brownian motion.Then the classical model of option pricing can be generalized based on fractional Brownian motion.

关 键 词：分数布朗运动 亚式期权定价 保险精算 

分 类 号：F830.9[经济管理—金融学] O211[理学—概率论与数理统计]