双分数Ornstein-Uhlenback过程下后定选择权定价模型  

A Pricing Models for Chooser Options Under a Bi-fractional Ornstein-Uhlenback Process

作　　者：袁敏[1] 薛红[1] YUAN Min;XUE Hong(School of Science,Xi＇an Polytechnic University,Shaanxi Xi＇an 710048,China)

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《河北师范大学学报（自然科学版）》2018年第6期472-477,共6页Journal of Hebei Normal University：Natural Science

基　　金：国家自然科学基金(11601410);陕西省自然科学基础研究计划(2016JM1031);西安工程大学研究生创新基金(CHX201881)

摘　　要：为了使股票价格更符合金融市场的实际情况,引入了双分数Ornstein-Uhlenback过程驱动的随机微分方程.假定期望收益率、无风险利率和波动率均为常数.利用双分数布朗运动环境下的随机分析知识,建立了Ornstein-Uhlenback过程下的金融市场模型,结合保险精算的方法,推得了后定选择权的定价公式.In order to make the stock price to approximate the market price, we uses the stochastic dif- ferential equation driven by the Ornstein-Uhlenback process of a bi-fractional Brownian motion. It is assumed that the expected rate and risk-free and the volatility are constants. The financial market mathe- matical model under the Ornstein-Uhlenback process is built by the stochastic analysis for bi-fractional Brownian motion. Combining the actuarial approach, the pricing formula of the chooser option is obtained.

关 键 词：ORNSTEIN-UHLENBACK过程 双分数布朗运动 保险精算 后定选择权 

分 类 号：O211[理学—概率论与数理统计] F830[理学—数学]