模糊环境下赋权分数布朗运动的欧式期权定价模型  

The European Option Pricing Model Based on the Weighted Fractional Brownian Motion in a Fuzzy Environment

作　　者：徐峰[1] XU Feng(School of Business Suzhou Vocational University,Suzhou 215104 China)

机构地区：[1]苏州市职业大学商学院,江苏苏州215104

出　　处：《苏州市职业大学学报》2024年第4期45-50,共6页Journal of Suzhou Vocational University

基　　金：江苏高校哲学社会科学研究一般项目(2022SJYB1626);苏州市职业大学重点教改项目(SZDJG-22004)。

摘　　要：为了刻画金融资产价格呈现的长期记忆性特征,采用赋权分数布朗运动来描述风险资产价格的动态变化过程。考虑到金融市场的不确定性,即具有随机性和模糊性的特征,采用随机分析理论和模糊集理论构建了不确定环境下赋权分数布朗运动驱动的欧式期权定价模型,并推导出了欧式看涨期权和欧式看跌期权的定价公式。In order to describe the long-term memory characteristics presented by the prices of financial assets,the weighted fractional Brownian motion is adopted to depict the dynamic change process of the prices of risky assets.Considering the uncertainty of the financial market,which features both randomness and fuzziness,the stochastic analysis theory and the fuzzy set theory are used to construct the European option pricing model driven by the weighted fractional Brownian motion in an uncertain environment,and the pricing formulas for European call options and European put options are derived.

关 键 词：欧式期权 赋权分数布朗运动 随机模糊变量 期权定价 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]