期刊文献+

分数环境中幂型重置期权的定价

下载PDF
导出
摘要 本文考虑标的资产价格服从分数O-U过程,通过推广计价单位的选取以获取等价鞅测度,得到了无风险利率为非随机函数下的幂型重置看涨期权的定价公式。
作者 董志英
出处 《科技信息》 2009年第31期J0012-J0012,J0196,共2页 Science & Technology Information
基金 乐山师范学院科研资助项目(Z07050)
  • 相关文献

参考文献4

二级参考文献11

  • 1Lin S J. Stochastic analysis of fractional Brownian motion[J]. Stochastics Stochastics Reports,1995,55:422-437.
  • 2Decreusefond L, Ustunel A S. Stochastic analysis of the fractional Brownian motion[J]. Potential Analysis, 1999, 10:177-214.
  • 3Rogers L C G. Arbitrage with fractional Brownian motion[J]. Mathematical Finance, 1997,7:95-105.
  • 4Duncan T E, Hu Y, Pasik-Duncan B. Stochastic calculus for fractional Brownian motion[J]. SIAM Journal of Control and Optimization,2000,38(2) :582-612.
  • 5Hu Y, Oksendal B. Fractional white noise calculus and applications to Finance[J]. Inf Dim Anal Quantum Probab Rel Top, 2003,6 : 1-32.
  • 6Necula C. Option pricing in a fractional brownian motion environment[J]. Preprint, 2002,18.
  • 7Oksendal B. Fractional brownian motion in finance[J]. Dept of Math University of OSLO, Preprint,2004,37.
  • 8Biagini F, Oksendal B. Forward integrals and an ito formula for fractional brownian motion[J]. Dept of Math University of OSLO, Preprint, 2007,25.
  • 9Sottinen T, Valkeila E. Fractional brownian motion as a model in finance[J]. Math Helsinki Fi Preprint,2001, 302:16.
  • 10YANGZhaojun,HUANGLihong,MAChaoaun.EXPLICIT EXPRESSIONS FOR THE VALUATION AND HEDGING OF THE ARITHMETIC ASIAN OPTION[J].Journal of Systems Science & Complexity,2003,16(4):557-561. 被引量:9

共引文献15

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部