分数布朗运动下红利亚式期权定价公式

The dividend Asian option pricing in fractional Brownian motion

在假定股票价格遵循由分数布朗运动驱动的随机微分方程的条件下,利用分数布朗运动随机分析理论,得到具有固定执行价格且有红利支付的几何平均亚式期权定价公式。

This paper,based on the assumption that stock price satisfies fractional Brownian motion and employing the theory of stochastic analysis of fractional Brownian motion,obtains geometric average Asian option pricing which is characterized by fixed implemented price and dividend payment.