分形跳扩散过程下执行价格不确定的外汇期权定价  

Implementing Uncertain Pricing for Foreign Exchange Options in the Process of Fractal Jump and Diffusion

作　　者：王永娟[1] 李守柱 

机构地区：[1]黑河学院,黑龙江黑河164300 [2]邮储银行黑河市分行,黑龙江黑河164300

出　　处：《黑河学院学报》2017年第9期219-220,共2页Journal of Heihe University

摘　　要：在汇率过程为分形跳扩散过程,执行价格不确定的情形下,构造出汇率函数受跳扩散过程和分形Brown运动共同驱动的模型,得到了外汇期权的定价公式。The exchange rate process consists of the fractal jump and diffusion process which constructs the model of exchange rate function jointed driven by jump-diffusion process and fractal Brown motion, and thus obtains the pricing formula on foreign exchange options under the circumstance of implementing uncertain pricing.

关 键 词：外汇期权 分形跳扩散过程 汇率 保险精算定价 

分 类 号：O21[理学—概率论与数理统计]