分数布朗运动下的欧式期权定价  

European Option Pricing under Fractional Brownian Motion

作　　者：张培 刘杰臣 ZHANG Pei;LIU Jie-chen(Faculty of Mathematics and Statistics,Suzhou University,Suzhou 23400)

机构地区：[1]宿州学院数学与统计学院,安徽宿州234000

出　　处：《阴山学刊（自然科学版）》2018年第4期8-10,共3页Yinshan Academic Journal(Natural Science Edition)

基　　金：安徽省高校自然科学研究项目(KJ2016A770);宿州学院一般科研项目(2014yyb01)

摘　　要：近几年来分数布朗运动被广泛的应用于期权定价领域,与标准的布朗运动相比,分数布朗运动具有其特有的长期依赖性和自相似性,它的这些性质更适合用来描述金融市场中股票价格变化的过程.文章利用Black-Schole公式,研究了分数布朗运动下无收益资产情况下欧式看涨期权和看跌期权的定价公式.The fractional Brownian motion has been widely used in the field of options pricing in recent years, compared to the standard Brownian motion, the fractional Brownian motion has its own long-term dependence and self-similarity, its properties are better suited to describe the process of stock price changes in financial markets. In this paper, we briefly introduced the knowledge of the options and the main factors influencing the options. By using Black-Schole option, we study in the case of non-yielding assets, the pricing formula of European call and put option under fractional Brownian motion.

关 键 词：分数布朗运动 期权定价 欧式期权 

分 类 号：O175.12[理学—数学]