分数布朗运动的美式障碍期权定价  

Pricing of American Barrier Options in a Fractional Brownian Motion

作　　者：温鲜[1] 霍海峰[1] 邓国和[2] 

机构地区：[1]广西工学院鹿山学院基础教学部,广西柳州545616 [2]广西师范大学数学科学学院,广西桂林541004

出　　处：《经济数学》2011年第3期87-91,共5页Journal of Quantitative Economics

基　　金：国家自然科学基金项目(40675023);广西自然科学基金(桂科自0991091);2010年新世纪广西高等教育教学改革工程项目<独立学院高等数学课程信息化教学服务平台建设>

摘　　要：假定标的股票服从分数布朗运动,应用二次近似法和偏微分方程方法求出了美式下降敲出看涨、看跌障碍期权价格近似解以及最佳实施边界.最后,通过显式差分法比较近似解的准确性,并分析Hurst参数对期权价格和最佳实施边界S*的影响.The pricing problem of an American Barrier option was considered in a fractional Black-Scholes model under the assumption that the underlying asset price satisfies a geometric fractional Brownian motion. The approximate solution of this option was obtained by using the quadratic approximation method and partial differential equation,and some examples were provided. Finally, the numerical examples using the finite difference method were provided to verify the conclusions.

关 键 词：分数布朗运动 美式障碍期权 二次近似法 

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