双分数布朗运动环境下重置期权定价

Reset option pricing models in Bifractional environment

假定股票价格满足双分数布朗运动驱动的随机微分方程,期望收益率、无风险利率和波动率均为常数,根据双分数布朗运动随机分析理论,建立双分数布朗运动环境下金融市场数学模型,运用保险精算方法,得到了双分数布朗运动环境下重置期权定价公式.

Assume that the option price satisfies stochastic differential equation driven by bi- fractional Brownian motion. Also,the expected rate and risk- less rate and the volatility were constants. The financial market mathematical model was built by the stochastic analysis for bi- fractional Brownian motion. Using the actuarial approach,the pricing formula of reset option in bi- fractional Brownian motion environment was obtained.