分数布朗运动模型下复合期权的定价

Compound option pricing in a fractional Brownian motion environment

在市场股价满足分数布朗运动模型的条件下,采用风险中性定价法推导出有红利支付的标的看涨期权的看跌期权及另外3种复合期权的定价公式,所得结果类似于标准布朗运动模型下的情形.

Based on the underlying driven by a fractional Brownian motion,formulas of pricing put option on a call option and other three kinds of compound options paying dividend are derived by risk neutral valuation.They are similar to the results based on the standard Brownian motion model.