多维分数次Black-Scholes模型中欧式未定权的定价被引量：6

Pricing of European Contingent Claim in Multi-dimensional Fractional Black-Schloes Model

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摘要讨论了具有任意Hurst参数的多维分数次Black-Scholes模型中欧式未定权益的定价,首先得到了未定权益在到期前任意时刻的分数次风险中性定价,然后求出了欧式未定权益在单资产多噪声、多资产单噪声、多资产多噪声等情形下的定价公式. We discussed the pricing of European contingent claim in Multi-dimensional Fractional BlackSchloes model with arbitrary Hurst parameter. First, we obtained the fractional risk neutral pricing formula of contingent claim at arbitrary time before the expiration time. Then, we obtained the pricing formulas of European contingent claim in singal asset and multi-noise, multi-asset and singal noise, multi-asset and multi-noise respectively.

作者刘韶跃丛金明杨向群

机构地区湘潭大学数学与计算科学学院济南大学理学院湖南师范大学数学与计算机科学学院

出处《湖南大学学报（自然科学版）》 EI CAS CSCD 北大核心 2006年第3期128-131,共4页 Journal of Hunan University:Natural Sciences

基金高校博士点专项科研基金资助项目(20040542006) 湖南省青年骨干教师培养经费资助项目

关键词分数次布朗运动欧式未定权益多维分数次Black-Seholes模型 factional Brownian motion european contingent claim multidimensional fractional black-sehloes model

分类号 F830.9 [经济管理—金融学] TV143.1 [水利工程—水力学及河流动力学]

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二级参考文献5

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