分数布朗运动环境下一类新型期权定价的鞅分析  

Martingale analysis of the pricing of a class of exotic options in fractional Brownian motion environment

作　　者：卢树强[1] 包树新[1] 

机构地区：[1]大庆师范学院数学科学学院,黑龙江大庆163712

出　　处：《合肥工业大学学报（自然科学版）》2013年第7期875-878,共4页Journal of Hefei University of Technology：Natural Science

基　　金：黑龙江省教育厅科学技术研究资助项目(11553009)

摘　　要：文章对标的资产价格服从几何分数布朗运动的新型期权进行研究,系统论述分数布朗运动环境下期权拟鞅定价理论,利用等价鞅测度理论,求出了新型期权的定价公式。In this paper, a class of exotic options that underlying asset price follows geometric fractional Brownian motion model is studied, the quasi martingale pricing theory of the options in the fractional Brownian motion environment is discussed, and the pricing formula of exotic options are obtained by means of the equivalent martingale measures.

关 键 词：分数布朗运动 拟鞅 等价鞅测度 期权 

分 类 号：O211.9[理学—概率论与数理统计]