带跳混合分数布朗运动下利差期权定价  

Pricing for Outer Performance Option in Mixed Fractional Brownian Motion with Jump

作　　者：丰月姣[1] 

机构地区：[1]大同大学,山西大同037003

出　　处：《佳木斯大学学报（自然科学版）》2012年第6期922-925,928,共5页Journal of Jiamusi University：Natural Science Edition

摘　　要：在股票价格遵循带跳混合分数布朗运动过程假设下,得到了利差期权所满足的一般偏微分方程,并依据此偏微分方程获得了利差期权和互换期权定价公式.推广了关于Black-Schol-es期权定价的结论.Under the hypothesis that stock price obeys the fractional Brownian motion with jump, the gen- eral partial differential equation for outer performance option was presented, by which pricing formula of the outer performance option and exchange option were obtained. The result of Black - Scholes option pricing was general- ized.

关 键 词：带跳混合分数布朗运动 利差期权 交换期权 偏微分方程 

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