混合分数布朗运动环境下欧式期权定价  

Pricing European Option in the Mixed Fractional Brownian Motion Environment

作　　者：陈飞跃[1,2] 杨蓉[2] 龚海文[3] 

机构地区：[1]中南大学商学院,湖南长沙410083 [2]保险职业学院,湖南长沙410114 [3]长沙理工大学数学与计算科学学院,湖南长沙410114

出　　处：《经济数学》2014年第3期9-13,共5页Journal of Quantitative Economics

基　　金：国家自然科学基金项目(11171044);湖南省教育科学规划课题阶段性成果(XJK013CGD006)

摘　　要：假设股票价格变化过程服从混合分数布朗运动,建立了混合分数布朗环境下支付连续红利的欧式股票期权的定价模型.利用混合分数布朗运动的It-公式,将支付连续红利的欧式股票期权的定价问题转化为一个偏微分方程,通过偏微分方程求解获得了混合分数布朗运动环境下支付连续红利的欧式股票看涨期权的定价公式.Assuming that the process of stock price follows the mixed fractional Brownian motion,this paper constructed the pricing model for European option of stock paying continuous dividend under mixed fractional Brownian motion environ-ment.The problem of pricing European option of stock paying continuous dividend was changed into the question of partial dif-ferential equation by using mixed fractional It？formula.The pricing formula of European call option of stock paying continuous dividend in mixed fractional Brownian motion environment was obtained by solving partial differential equation.

关 键 词：混合分数布朗运动 欧式期权 期权定价 

分 类 号：F830.91[经济管理—金融学]