摘要
假定股票价格遵循分数布朗运动驱动的随机微分方程,利率满足由分数布朗运动驱动的Va-sicek模型,建立了分数布朗运动环境下金融市场数学模型.利用分数布朗运动随机分析理论和保险精算方法,得到了缺口期权定价公式.
This paper assumed that asset price process follows stochastic differential equations driven by fractional Brownian motion,and interest rate satisfied the Vasicek model.The financial market mathematical model was built,driven by fractional Brownian motion.Using for stochastic analysis theory fractional Brownian motion and the method for actuarial mathematics,the pricing formula of gap option was obtained.
出处
《哈尔滨商业大学学报（自然科学版）》
CAS
2012年第5期616-619,共4页
Journal of Harbin University of Commerce：Natural Sciences Edition
基金
陕西省教育厅专项基金项目(2010JM1010)
关键词
分数布朗运动
缺口期权
随机利率
保险精算
fractional Brownian motion
gap option
stochastic interest rate
actuarial mathematics
