分数跳扩散环境下随机波动金融资产模型  

Stochastic volatility financial model under fractional jump diffusion environment

作　　者：孙玉东 田景仁[1] 陈瑛[1] SUN Yu-dong;TIAN Jing-ren;CHEN Ying(School of Business,Guizhou Minzu University,Guizhou 550025,China)

机构地区：[1]贵州民族大学商学院

出　　处：《哈尔滨商业大学学报（自然科学版）》2019年第4期494-498,共5页Journal of Harbin University of Commerce：Natural Sciences Edition

基　　金：贵州省科学技术基金项目(No．黔科合J字[2015]2076);贵州省教育厅青年科技人才成长项目(No．黔教合KY字[2016]168)

摘　　要：在跳扩散环境下,研究了分数随机波动金融资产模型的存在性和唯一性.此外,对随机波动进行网格划分之后通过Monte-Carlo模拟研究了障碍期权定价问题.Under the jump diffusion environment,this paper studied on the existence and uniqueness of the solution to the financial model of stochastic volatility driven by the fractional Brownian motion under the jump diffusion environment.Besides,proposed to price the Barrier call option with the discretization method and present the results of a Monte-Carlo simulation.

关 键 词：随机波动模型 存在性 唯一性 障碍期权 分数Brown运动 

分 类 号：O211.64[理学—概率论与数理统计]