混合分数布朗运动驱动下的欧式幂期权定价模型

Model of European Power Option Pricing Driven by Mixed Fractional Brownian Motion

讨论风险证券价格受多个分数布朗运动与一个布朗运动组合影响的欧式幂期权定价问题.在风险中性概率测度的基础上并在有红利支付且红利率及无风险利率为非随机函数情况下给出了两类欧式幂期权的定价公式,且分别得出了涨跌欧式幂期权对应的平价关系.

In this article we discuss the problem of european power option pricing that the price of risk securities is affected by multiple fractional Brownian motion and a fractional Brownian motion combination.On the basis of probability measure at the neutral risk and in the case of owning bonus payment and bonus rate,and when the risk free rate is not random function,we give the formula of two kinds of european power option pricing,and we obtained respectively the corresponding parity relationship of ups and downs european power options.