分数维Hull-White利率模型下欧式期权的定价  

Pricing European Options in the Fractional Hull-White Interest Rate Model

作　　者：潘坚[1] 周香英[1] 

机构地区：[1]赣南师范学院数学与计算机科学学院,江西赣州341000

出　　处：《内蒙古师范大学学报（自然科学汉文版）》2015年第6期749-753,共5页Journal of Inner Mongolia Normal University(Natural Science Edition)

基　　金：国家自然科学基金资助项目(11501125);江西省自然科学青年基金资助项目(2009GZS0007)

摘　　要：假定原生资产的价格和利率的随机过程服从分数维布朗运动,利用风险对冲技巧和偏微分方程方法,得到分数维Hull-White利率模型下的欧式期权以及降低权利金权证的定价公式,推广了分数维BlackScholes期权定价公式.Under the condition of the underlying asset price and stochastic interest rate obeying the fractional Brownian motion, the general pricing formulas for the European option and the equity warrants is obtained by using the risk hedge technique and partial differential equation methods, which generalize the pricing of vanilla options in the fractional Brownian motion setting.

关 键 词：分数维Hull-White模型 期权定价 偏微分方程方法 

分 类 号：F830.9[经济管理—金融学]