次分数布朗运动环境下后定选择权定价  

Chooser Option Pricing in Sub-fractional Brownian Motion Environment

作　　者：王瑞 薛红[1] 梁喜珠 WANG Rui;XUE Hong;LIANG Xizhu(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

出　　处：《河北师范大学学报（自然科学版）》2020年第2期105-113,共9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);中国博士后科学基金(2017M613169)

摘　　要：为描述分数布朗运动难以描述的股价收益率变化非平稳的金融市场,假定股票价格服从次分数布朗运动,借助次分数随机分析理论和保险精算方法,得到了后定选择权定价公式.并通过分析期权价格灵敏度,说明各参数对期权价格有着不同的影响,另外给出了相应数值算例,表明金融市场不同的分形结构对期权价格有显著的影响.In order to describe the non-stationary financial market in which the stock price returns change with fractional Brownian motion is difficult to describe,assume that the stock price obeys sub-fractional Brownian motion.The pricing formula of chooser option is obtained by the sub-fractional stochastic analysis theory and the insurance actuarial method.In addition,it shows each parameter has different influence on option price through the analysis of option price sensitivity,and numerical examples are given to show that different fractal structures of financial markets have significant effects on option prices.

关 键 词：后定选择权 次分数布朗运动 保险精算方法 期权定价 随机分析理论 

分 类 号：O211[理学—概率论与数理统计] F830[理学—数学]