基于鞅方法下分数布朗运动欧式回望期权的定价  

Study on the Valuation of Look-back Options in Fractional Brownian Motion by the Martingale Approach

作　　者：桑利恒[1] 杜雪樵[2] 

机构地区：[1]滁州学院数学科学学院,安徽滁州239000 [2]合肥工业大学数学学院,安徽合肥230009

出　　处：《大学数学》2012年第2期50-53,共4页College Mathematics

摘　　要：利用分数布朗运动研究了一种强路径依赖型期权—回望期权的定价问题.首先列出了有关的定义和引理;其次利用该定义和引理建立了分数布朗运动情况下的价格模型,通过鞅方法,得到了回望期权价格所满足的方程;最后分别给出了看跌回望期权和看涨回望期权的定价公式的显式解.This paper mainly deals with the pricing problem of the look-back option using the fractional Berownian motion, which is a kind of path dependent option. First of all the paper Lists in the definition and lemma; and secondly by the use of the definition and lemma established under fractional Brownian motion model of the price, look-back options pricing has been met by the differential equation; the final shows look-back put option and look-back call option pricing formula of the explicit solution respectively by using the random differential equation and the martingale methods.

关 键 词：分数布朗运动 鞅方法 回望期权 

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