混合分数布朗运动下两值期权的定价模型  

Binary options pricing model in the mixed fractional Brownian motion environment

作　　者：付培 孙琳[1] FU Pei;SUN Lin(School of Applied Mathematics,Guangdong University of Technology,Guangzhou 510520,China)

机构地区：[1]广东工业大学应用数学学院,广东广州510520

出　　处：《佛山科学技术学院学报（自然科学版）》2018年第2期13-19,共7页Journal of Foshan University(Natural Science Edition)

基　　金：广东省自然科学基金资助项目(S2013010016270)

摘　　要：两值期权是只有标的资产的价格超过执行价格才会有相应收益的期权,因而它具有不连续收益的性质,是目前一种普遍研究的奇异期权。为了描述标的资产的长记忆和消除金融市场的套利,在假设标的资产服从混合分数布朗运动的环境下,采用了拟鞅技术,运用了随机分析的有关内容,最终获得了两值期权在混合分数布朗运动环境下的定价模型。为了更好地理解定价模型,进一步分析了赫斯特指数对定价结果的影响。Binary options are options that have only the corresponding value of the underlying asset's price,therefore have a discontinuity income of popular exotic option.In order to describe the long memory of the underlying asset and to eliminate the arbitrage in the financial market,this paper assumes that the underlying asset is subject to mixed fractional brown motion,binary option pricing model in the mixed fractional Brownian motion environment is obtained by using the martingale technique and stochastic analysis method.In order to understand the pricing model better,this paper analyzes the influence of Hurst index on pricing results.

关 键 词：混合分数布朗运动 两值期权 定价模型 拟条件期望 

分 类 号：O211.6[理学—概率论与数理统计]