摘要
在股票价格遵循带跳混合分数布朗运动过程假设下,得到了利差期权所满足的一般偏微分方程,并依据此偏微分方程获得了利差期权和互换期权定价公式.推广了关于Black-Schol-es期权定价的结论.
Under the hypothesis that stock price obeys the fractional Brownian motion with jump, the gen- eral partial differential equation for outer performance option was presented, by which pricing formula of the outer performance option and exchange option were obtained. The result of Black - Scholes option pricing was general- ized.
出处
《佳木斯大学学报（自然科学版）》
CAS
2012年第6期922-925,928,共5页
Journal of Jiamusi University：Natural Science Edition
关键词
带跳混合分数布朗运动
利差期权
交换期权
偏微分方程
fractional Brownian motion with jump
outer performance option
exchange option
partialdifferential equation
