分数布朗运动下具有机制转换的欧式期权定价  

European option pricing model with regime switching in the fractional Brownian motion

作　　者：李雨珊 薛红[1] LI Yushan;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：《纺织高校基础科学学报》2021年第3期95-101,共7页Basic Sciences Journal of Textile Universities

基　　金：陕西省自然科学基础研究计划(2016JM1031)。

摘　　要：为了解决实际金融市场中标的资产价格变动呈现的长程相关性特征以及“波动率微笑”现象,建立分数布朗运动环境下具有机制转换的欧式期权定价模型。对上证50ETF期权采用保险精算方法及蒙特卡洛模拟方法进行实证分析,并与其他模型的模拟价格进行对比分析,结果表明分数布朗运动环境下具有机制转换的期权定价模型更适应于实际金融市场。In order to solve the long-term correlation of asset prices and“volatility smile”phenomenon in financial market,the European option pricing model with regime switching in the fractional Brownian motion environment was established.The actuarial approach and Monte Carlo simulation method were used to conduct empirical analysis for SH50ETF,and comparative analysis was also made with the simulation prices of other models.The results show that the option pricing model with regime switching in the fractional Brownian motion environment is more suitable for the actual financial market.

关 键 词：分数布朗运动 机制转换 蒙特卡洛模拟 上证50ETF期权 

分 类 号：O211[理学—概率论与数理统计] F830[理学—数学]