分数布朗运动情形下利率随机的双标的型两值期权定价  

Pricing of Binary Options with Two Underlyings Under Stochastic Interest Rate About Fractional Brownian Motion

作　　者：黄凤云 刘国祥[2] 王成冬 章新婕 Huang Fengyun;Liu Guoxiang;Wang Chengdong;Zhang Xinjie(Guangxi Normal University Press,Guilin 541004,China;School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China)

机构地区：[1]广西师范大学出版社,广西桂林541004 [2]南京师范大学数学科学学院,江苏南京210023

出　　处：《南京师大学报(自然科学版)》2025年第1期6-12,共7页Journal of Nanjing Normal University(Natural Science Edition)

基　　金：国家社会科学基金项目(21BTJ044)。

摘　　要：主要利用不同计价单位的拟鞅方法,推导随机利率服从Vasicek模型,两种标的资产分别服从具有一定相关性的标准分数布朗运动的双标的型两值期权的定价公式.In this paper,the quasi-martingale method with different pricing units is used to derive the pricing formulas of the two types of binary two-value options with the random interest rate obeying Vasicek model and the two types of underlying assets obeying the standard fractional Brownian motion with certain correlation.

关 键 词：分数布朗运动 随机利率 拟鞅方法 改变计价单位 

分 类 号：F830.9[经济管理—金融学]