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分数布朗运动环境下时变参数的欧式期权定价的新方法

发表时间:2008-03-15  浏览量:1855  下载量:780
全部作者: 冯杰才, 严定琪
作者单位: 兰州大学数学与统计学院
摘 要: 本文给出了一种求解基于标的资产价格服从几何分数布朗运动,且参数为随时间变化的函数的情况下,欧式期权定价的新方法。本方法采用了函数变化的特性,将时变参数的欧式期权定价公式转化为非时变参数的情况,并解出了时变参数的表达式.这样在实际应用中是方便可行的.因为在实际的金融市场,由于参数是受到很多不确定因素的影响,所以参数是常数的假设是很难成立的。因此本论文在实际的金融市场中,衍生产品的定价中是有实际应用价值的。本论文还可以推广到多维欧式期权定价的情况,以及其他期权定价的情况。当H = 1/2时,则本文的结果就是标底资产服从标准布朗运动且参数为时变的特殊情况下的定价公式。
关 键 词: 分数布朗运动;时变参数;欧式期权
Title: A New Approach to Pricing European Options in a Fractional Brownian Motion Environment with Time-Varying Parameters
Author: FENG Jiecai, YAN Dinqi
Organization: School of Mathematics and Statistics, Lanzhou University
Abstract: This paper presents a new approach to price the European options when the prices of underlying assets obey the geometric fractional Brownian motion, and the parameters are time-varying. Through using properties of switching functions,this approach transmits the price formula of European option from time-varying to non time-varying,and gets the results of the time-varying parameters. This approach can use in real 痭ancial market conveniently.Because of parameters are in皍enced by many uncertain aspects in the real market ,it's hard to say the parameters are constant.Therefore, this paper has applied value to price derivatives of 痭ancial products in real market.This paper also can extend to the price of multi-dimension European option and other options.Specially,the result of this paper is the result that underlying assets obey standard Brownian motion and time-varying parameters when H =1/2.
Key words: Fractional Brownian Motion; Time-Varying parameters; Euro-pean Option.
发表期数: 2008年7月第5期
引用格式: 冯杰才, 严定琪. 分数布朗运动环境下时变参数的欧式期权定价的新方法[J]. 中国科技论文在线精品论文,2008,1(5):510-514.
 
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