分数布朗运动模型下美式两值期权的定价  

An American Binary Option Pricing in a Fractional Black-Scholes Model

作　　者：林汉燕[1] LIN Han-yan(Faculty of Science,Guilin University of Aerospace Technology,Guilin 541004,China)

机构地区：[1]桂林航天工业学院理学部

出　　处：《数学的实践与认识》2018年第16期291-296,共6页Mathematics in Practice and Theory

基　　金：广西教育厅科研项目(YB2014436)

摘　　要：在标的资产服从分数布朗运动模型的条件下,研究美式两值现金或无值看涨期权的定价问题.将定价问题分解为一个对应永久美式期权的价格和一个Cauchy问题的解,得到定价公式.Pricing an American Binary cash-or-nothing call option in a fractional Brownian motion model is studied. The price is divided into a perpetual American option and a solution of a Cauchy problem and the analytical formula is obtained.

关 键 词：分数布朗运动模型 美式两值期权 现金或无值看涨期权 

分 类 号：F830.91[经济管理—金融学]