次分数机制下的两资产几何亚式彩虹期权定价模型  

Pricing Model of Two-asset Geometric Asian Rainbow Options in the Sub-fractional Mechanism

作　　者：刘顺 王欣怡 郭志东 LIU Shun;WANG Xin-yi;GUO Zhi-dong(School of Mathematics and Physics,Anqing Normal University,Anqing 246133,China)

机构地区：[1]安庆师范大学数理学院,安徽安庆246133

出　　处：《辽宁工业大学学报（自然科学版）》2022年第5期337-343,共7页Journal of Liaoning University of Technology(Natural Science Edition)

基　　金：安徽省自然科学青年基金项目(1908085QA29)。

摘　　要：建立了次分数布朗运动下的两资产几何亚式彩虹期权定价模型,运用偏微分方程的方法,得到了两资产几何亚式彩虹期权定价公式,并给出了相关的数值计算。结果表明,在相同参数下,两资产几何亚式彩虹期权在次分数机制下的价格低于其在几何布朗运动机制下的价格。The pricing model of two-asset geometric Asian rainbow options in the sub-fractional Brownian motion regime is established.The pricing formula for two-asset geometric Asian rainbow options is derived by using partial differential equation method.Moreover,some numerical results are given.The results show that under the same parameters,the price of two-asset geometric Asian rainbow options in the sub-fractional Brownian motion is lower than that in the geometric Brownian motion.

关 键 词：期权定价 次分数布朗运动 两资产几何亚式彩虹期权 数值计算 

分 类 号：F830.9[经济管理—金融学]