双分数布朗运动驱动的降低权利金权证定价  

Research on Depressed Option Pricing Driven by Bifractional Brownian Motion

作　　者：赵巍[1] 

机构地区：[1]淮海工学院商学院,江苏连云港222005

出　　处：《南京师大学报（自然科学版）》2017年第4期21-25,共5页Journal of Nanjing Normal University(Natural Science Edition)

基　　金：江苏省高校哲学社会科学基金项目(2017SJB1685)

摘　　要：双分数布朗运动能满足分形特征,同时在一定条件下能够满足半鞅,已替代分数布朗运动成为数理金融研究中更为合适的工具.在双分数布朗运动假定下,基于拟鞅定价思路给出了双分数Black-Scholes定价模型的解析解;随后,着重讨论了双分数布朗运动环境下的降低权利金权证定价问题,使分数布朗运动和标准布朗运动驱动的定价模型都成为其特例.本文研究方法对求解各类扩展的布朗运动族驱动的定价模型都具有借鉴价值.Considering of fractional character,Brownian motion is non-reasonable for basic assumption to model. Fractional Brownian motion suit for the fractional property of financial assets,but it is not a semi-martingaleto failure to apply stochastic analysis. This paper sets the assert price followed bifractional Brownian motion,andconstruct quasi-martingale method under the risk neutral measure to solve bifractional Black-Scholes model and two kindsof depressed option by the same way. The results show bifractional Brownian motion and standard Brownian motionbecome a special example, and the method is important significance of option pricing diven by Brownian motion.

关 键 词：双分数布朗运动 拟鞅 双分数Blak-Scholes模型 降低权利金 

分 类 号：F830.9[经济管理—金融学]