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分数布朗运动下带红利的欧式期权定价

发表时间:2012-07-15  浏览量:1295  下载量:533
全部作者: 张瑜,李凡,严定琪
作者单位: 兰州大学数学与统计学院
摘 要: 基于股票价格遵循有分数布朗运动驱动的分数阶随机微分方程。首先运用Black-Scholes(B-S)方程建立带红利的欧式看涨期权定价模型,然后根据分数阶随机微分方程理论将方程的求解问题转化为偏微分方程的求解问题,最后基于偏微分方程方法给出期权定价的解析解。
关 键 词: 应用数学;分数阶随机微分方程;分数阶高斯白噪音;分数Black-Scholes方程;分数布朗运动
Title: European option pricing with dividend based on fractional Brown motion
Author: ZHANG Yu, LI Fan, YAN Dingqi
Organization: School of Mathematics and Statistics, Lanzhou University
Abstract: In the paper, stock prices exchange dynamics is based on fractional order stochastic differential equation driven by a fractional Brownian motion. first, European call option pircing with dividend model is established using fractional Black-Scholes (B-S) equation theory; second, the solving problem of equation is transformed into the solving problem of partial differential equation (PDE) using the fractional stochastic diffential equation; and finally, the option pricing is obtained based on PDE method.
Key words: applied mathematics; fractional stochastic differential equations; fractional Gauss white noises; fractional Black-Scholes equations; fractional Brownian motion
发表期数: 2012年7月第13期
引用格式: 张瑜,李凡,严定琪. 分数布朗运动下带红利的欧式期权定价[J]. 中国科技论文在线精品论文,2012,5(13):1236-1241.
 
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