分数布朗运动环境下有红利支付的欧式双向期权的定价  

Pricing of European Two-way Option on Dividend-paying Stock in a Fractional Brownian Motion Environment

作　　者：赵英英 胡华 马玲 马永光 

机构地区：[1]宁夏大学数学统计学院,宁夏银川750021

出　　处：《宁夏师范学院学报》2018年第1期71-74,79,共5页Journal of Ningxia Normal University

基　　金：国家自然科学基金项目(11361044);宁夏大学研究生创新项目

摘　　要：首先运用风险中性测度的等价鞅方法得出了在该测度下支付红利的标的资产价格,然后给出了拟条件数学期望公式,结合两者最后推导出了欧式双向期权的定价公式.其中满足公式的标的资产对数价格服从分数布朗运动且无风险收益率、波动率和红利率均为随机函数.In this paper we first get the asset price with dividend paying under risk neutral measure by using the equivalent martingale method under risk neutral measure. Then we give the quasi conditional expectation formula. Combining the two deduced pricing formula for European two-way option,which the assets obeys the fractional Brown motion,the risk-free rate of return,volatility and dividend interest rate are random function.

关 键 词：鞅方法 分数布朗运动 拟条件数学期望 欧式双向期权 

分 类 号：O211.6[理学—概率论与数理统计]