基于分数跳扩散过程的幂期权定价  

Pricing of Power Option with Underlying Assets Following Fractional Jumping Diffusion Process

作　　者：胡素敏[1] 胡电喜[2] 

机构地区：[1]河南城建学院数理系,中国平顶山467036 [2]玉溪师范学院商学院,中国玉溪653100

出　　处：《湖南师范大学自然科学学报》2012年第6期14-17,共4页Journal of Natural Science of Hunan Normal University

基　　金：国家自然科学基金资助项目(70701017);河南省科技计划资助项目(112400450212);河南省教育厅自然科学研究资助项目(2011A110002)

摘　　要：应用风险中性定价原理,研究标的股价服从分数跳扩散过程的幂期权的定价问题,并得出该情况下欧式看涨幂期权、看跌幂期权的定价公式及平价公式,并与股价服从跳扩散过程的标准欧式期权定价模型进行比较分析,并验证了布朗运动只是分数布朗运动的一种特例,可基于分数布朗运动对原有的期权定价模型进行推广.The pricing of power option when the underlying assets following fractional jump diffusion process is mainly studied.By using the risk neutral valuation principle,the pricing formulae of power call option,put option and parity are obtained when the underlying stock price is depicted by jumping diffusion process.Then comparative analysis is made with standard European option pricing model when the underlying assets following jump diffusion process,and further Brownian motion is verified to be a special case of the fractional Brownian motion.So the original pricing of option model can be promoted based on the fractional Brownian motion.

关 键 词：分数布朗运动 幂期权 跳扩散过程 

分 类 号：O211.6[理学—概率论与数理统计]