双分数跳-扩散过程下脆弱期权定价  

Vulnerable Option Pricing under Bi-fractional Jump-diffusion Process

作　　者：王瑶 薛红[1] WANG Yao;XUE Hong(School of Science,Xi’an Polytechnic University,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：《杭州师范大学学报（自然科学版）》2018年第4期437-442,共6页Journal of Hangzhou Normal University(Natural Science Edition)

基　　金：陕西省自然科学基金项目(2016JM1031)

摘　　要：假定股票价格服从双分数布朗运动和泊松过程共同驱动的随机微分方程,公司价值和公司负债均满足双分数布朗运动驱动的随机微分方程,建立双分数跳-扩散环境下金融数学模型,利用双分数跳-扩散随机分析理论和保险精算方法研究脆弱期权定价问题,得出了双分数跳-扩散环境下脆弱期权定价公式.Assuming that the stock price satisfies the stochastic differential equation driven by bi-fractional Brownian and poisson process,both the firm value and the corporate liability satisfy the stochastic differential equation driven by bi-fractional Brownian motion,the financial mathematics model under bi-fractional jump-diffusion process is built.The pricing problem of the vulnerable option is discussed by the theory of bi-fractional jump-diffusion process and actuarial approach,and the vulnerable option pricing formula under bi-fractional jump-diffusion process is obtained.

关 键 词：脆弱期权 双分数布朗运动 跳-扩散过程 保险精算方法 

分 类 号：F830[经济管理—金融学] O211[理学—概率论与数理统计]