基于分数布朗运动下的附息债券期权定价

Coupon-bonds option pricing in the fractional Brownian motion environment

假设短期利率遵循分数布朗运动驱动的Hull-White模型.利用附息票债券价格服从分数布朗运动下的随机微分方程,以及偏微分方程方法等,讨论了期权到期日与延迟交付日并给出了可延期交付的欧式附息票债券期权定价模型及定价公式.

The short-term interest rates satisfies the Hull-White model driven by fractional Brownian mo- tion,and the pricing formula and model for coupon-bonds option with delay in delivery are obtained by u- sing the methods of PDEs,based on the different between the maturity and the date of delay in delivery.