有交易费的分数型几何平均亚式期权的定价公式  

Pricing Formula of Geometric Average Asian Option Driven by Fractional Brownian Motion with Transaction Costs

作　　者：胡攀[1] 

机构地区：[1]四川文理学院数学与财经学院,四川达州635000

出　　处：《绵阳师范学院学报》2013年第11期21-25,31,共6页Journal of Mianyang Teachers＇ College

基　　金：四川文理学院院级科研项目(2012Z006Y)

摘　　要：该文在标的资产价格服从几何分数布朗运动的模型假设下,利用自融资交易策略和分数型Ito^公式将几何平均亚式期权定价问题转化为一个偏微分方程求解问题,通过偏微分方程求解,得到了有交易费用的分数型几何平均亚式期权的定价公式.Assume that the underlying price follows geometric Brownian motion model, the geometric average Asian option pricing was changed into the question of solving partial differential equation by fractional Ito formula and self- financing trading strategy. The pricing formula of the geometric average Asian option Driven by Frac- tional Brownian Motion with Transaction Costs was obtained by solving the partial differential equation.

关 键 词：分数布朗运动 几何平均亚式期权 偏微分方程 自融资交易策略 分数型Ito公式 

分 类 号：F830.9[经济管理—金融学]