摘要
The insurer's solvency ratio model in a class of fractional Black-Scholes markets is studied. In this market,the price of assets follows a Wick-It stochastic differential equation,which is driven by the fractional Brownian motion. The market coefficients of market model are deterministic functions. By the stochastic calculus of the fractional Brownian motion and the pricing formula of European call option for the fractional Brownian motion,the explicit formula for the expected present value of shareholder's terminal payoff is given. The model extends the existing results.
The insurer＇s solvency ratio model in a class of fractional Black-Scholes markets is studied. In this market,the price of assets follows a Wick-It stochastic differential equation,which is driven by the fractional Brownian motion. The market coefficients of market model are deterministic functions. By the stochastic calculus of the fractional Brownian motion and the pricing formula of European call option for the fractional Brownian motion,the explicit formula for the expected present value of shareholder＇s terminal payoff is given. The model extends the existing results.
基金
National Natural Science Foundations of China(Nos.71271003,71571001,11326121)
Natural Science Foundation of Anhui Province,China(No.1608085M A02)
Teaching Research Project of Anhui Province,China(No.2013jyxm111)
Opening Project of Financial Engineering Research and Development Center of Anhui Polytechnic University,China(No.JRGCKF201502)
