摘要
基于股票价格遵循有分数布朗运动驱动的分数阶随机微分方程.运用Black-Scholes方程理论建立带红利的欧式看涨期权定价模型,根据分数阶随机微分方程理论将方程的求解问题转化为偏微分方程的求解问题,给出期权定价的解析解.
A basis was taken that the stock price should obey fractional-oder stochastic differential equations with the driving of fractional Brown motion. By using Black-Scholes equation and theory, an Europe- an option pricing model with expected price rising was established. Then the solution of the fractional-or- der stochastic differential equations was transformed into solving a partial differential equation and an ana- lytic solution was given for the option pricing.
出处
《兰州理工大学学报》
CAS
北大核心
2012年第4期162-164,共3页
Journal of Lanzhou University of Technology
关键词
欧式期权定价
分数阶随机微分方程
分数阶高斯白噪音
分数B-S方程
分数布朗运动
European option pricing
fractional-order stochastic differential equation
fractional-order Gaussian white noise
fractional B-S equation
fractional Brown motion