分数布朗运动环境中带有Poisson跳的股票价格模型的2种奇异期权定价

Pricing of Two Kinds of Exotic Options on Stock Driven by Poisson Jump Process in Fractional Brownian Motion Environment

假设股票价格过程为分数布朗运动环境中带有非时齐Poisson跳跃的扩散过程,并且股票预期收益率、波动率和无风险利率均为时间的函数,利用公平保费原则和价格过程的实际概率测度,推导了2种奇异期权的定价公式.

Under the assumptions that stocks process driven by nonhomogeneous Poisson jump-diffusion process,and the expected rate μ（t）,volatility σ（t） and risk-less rate r（t） are functions of time,we obtain the accurate pricing formula of two kinds of Exotic Options by using physical probabilistic measure of price process and the principle of fair premium.