混合分数Brown运动环境下具有时变参数的再装期权定价  

Pricing of reload option with time-varying parameters in mixed fractional Brownian motion environment

作　　者：胡倩倩 周霞 HU Qianqian;ZHOU Xia(School of Mathematics and Computational Science,Guilin University of Electronic Technology,Guilin 541004,China)

机构地区：[1]桂林电子科技大学数学与计算科学学院,广西桂林541004

出　　处：《桂林电子科技大学学报》2020年第2期159-165,共7页Journal of Guilin University of Electronic Technology

基　　金：广西自然科学基金(2017GXNSFBA198179);广西科技基地和人才专项(桂科AD18281026);广西高校中青年教师基本能力提升项目(2018KY0214)。

摘　　要：为了使再装期权定价更加合理,利用混合分数Brown运动替代标准Brown运动,在期望收益率和波动率均为时变函数的情况下,建立了混合分数Brown运动环境下再装期权定价模型。基于随机分析理论,利用保险精算的方法,得到了混合分数Brown运动下带有时变参数的再装期权的定价公式,丰富了现有期权的内容。In order to make the pricing of reload option more reasonable, the mixed fractional Brownian motion is used instead of the standard Brownian motion. In the case that both the expected rate of return and volatility are time-varying functions, the pricing model of reload option under mixed fractional Brownian motion is established. Based on stochastic analysis theory and insurance actuarial method, the pricing formula of reload option with time-varying parameters in mixed fractional Brownian motion is obtained, which enriches the content of existing options.

关 键 词：时变参数 混合分数Brown运动 B-S方程 再装期权 保险精算方法 

分 类 号：O193[理学—数学]