分数布朗运动下支付红利的亚式期权定价  

Asian Option Pricing with Dividend Under Fractional Brownian Motion Model

作　　者：武文娜[1] 周圣武[1] 黎伟[1] 

机构地区：[1]中国矿业大学理学院,江苏徐州221116

出　　处：《河南科技大学学报（自然科学版）》2012年第4期100-104,10,共5页Journal of Henan University of Science And Technology:Natural Science

基　　金：国家自然科学基金项目(61005089);中央高校基本科研业务费专项基金项目(JGK101677)

摘　　要：假设金融资产为有红利支付的股,利用分数Ito公式将几何平均亚式期权定价问题化成一个偏微分方程求解问题,通过偏微分方程求解,获得了分数布朗运动下有红利支付的几何平均亚式期权定价公式和平价公式。Assumed that the financial asset was stock with dividend payment,the geometric average asian option pricing was changed into the question of solving partial differential equation by fractional I to formula.The pricing formula and call-put parity of the geometric average asian option with dividend payment were obtained by solving the partial differential equation.

关 键 词：分数布朗运动 几何平均亚式期权 期权定价 红利 

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