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分数跳-扩散模型下的互换期权定价 被引量：3

EXCHANGE OPTION PRICING ON FRACTIONAL JUMP-DIFFUSIONS
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摘要 用保险精算法,在标的资产价格服从分数跳-扩散过程,且风险利率、波动率和期望收益率为时间的非随机函数的情况下,给出了一类多资产期权——欧式交换期权的定价公式.该公式是标准跳扩散模型下的欧式期权及欧式交换期权定价公式的推广. The pricing formulas for European exchange option were obtained using insurance actuary pricing methods, where the underlying asset follows a fractional jump-diffusion process with the time-dependent parameters （expected rate, volatility and risk-less rate）. These pricing formulas generalize the corresponding European option and European ex- change option pricing on jump-diffusions.
作者 何传江 方知
机构地区 重庆大学数理学院
出处 《经济数学》 北大核心 2009年第2期23-29,共7页 Journal of Quantitative Economics
基金 重庆市科委自然科学基金计划资助项目(CSTC 2007BB2123)
关键词 分数Brown运动 交换期权定价 保险精算定价 跳-扩散过程 fractional brownian motion exchange option pricing insurance actuary pricing jump-diffusions
分类号 F830.9 [经济管理—金融学] O211.6 [理学—概率论与数理统计]
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参考文献10

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  • 6赵佃立.分数布朗运动环境下欧式幂期权的定价[J].经济数学,2007,24(1):22-26. 被引量：27
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二级参考文献10

共引文献26

同被引文献28

  • 1DUCAN T E, HU Y, PASIK D B. Stochastic Calculus for Fractional Brownian Motion [ J ]. SIAM J Control Optim, 2000,38 : 582-612.
  • 2HU Y, KSENDA1 B. Fractional White Noise and Application to Finance [ J ]. Infinite Dimensional Analysis, Quantum Probability and Related Topics,2003(6) :1-32.
  • 3C IPRIAN N. Option Pricing in a Fractional Brownian Motion Environment[ J ]. Mathematical Reports, 2004,6 (3) :259-273.
  • 4MARGRABE M. The Value of an Option to Exchange One Asset for Another [ J ]. Journal of Finance, 1978,24 (3) :177-186.
  • 5BLADT M, RYDBERG T H. An Actuarial Approach to Option Pricing Under the Physical Measure and Without Market Assumptions [ J ]. Insurance : Mathematics and Economics, 1998,22 ( 1 ) :65-73.
  • 6Ducan T E, Hn Y, Pasik-Ducan B. Stochastic calculus for fractional Brownian motion [ J ]. SIAM J Control Optim, 2000,38 (2) :582-612.
  • 7Hu Y, OKSENDAL B. Fractional white noise and appli- cation to finance [ J ]. Infinite Dimensional Analysis, Quan- tum Probability and Related Topics ,2003,6( 11 ) :1-32.
  • 8Necula C. Option pricing in a fractional Brownian motion environment [ J ]. Mathematical Reports,2004,6 (3) : 259- 273.
  • 9Margrabe M. The value of an option to exchange one asset for another [ J ]. Journal of Finance, 1978, XXX I!I : 177- 186.
  • 10Bladt M, Ryberg T H. An actuarial approach to option pri- cing under the physical measure and without market as- sumptions [ J ]. Insurance : Mathematics and Economics, 1998,22( 1 ) :65-73.

引证文献3

二级引证文献5

经济数学
2009年 第2期

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