分形布朗运动下的欧式外汇期权定价

Pricing European Foreign Currency Options under Fractional Brownian Motion

通过证明在分形-It-积分下,分形外汇市场是完备的。推出未定权益在任意时刻的定价公式,并得出分形布朗运动下的欧式外汇期权定价公式的显式表达式。

The general pricing formula of the contingent claim is derived from the proof of the completion of the fractional foreign currency market under the fractional-it-integration, and the closed-form expressions of European foreign currency options pricing formulas under fractional Brownian motion are obtained.