双分数布朗运动下交换期权定价模型

Exchange option pricing model in bi-fractional brownian motion environment

在标的资产服从双分数布朗运动驱动的随机微分方程,利率、波动率均为常数的情况下,借助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,运用保险精算的方法,得到了双分数布朗运动环境下交换期权的定价公式.

Underlying asset process follows the stochastic differential equation driven by bi - fractional Brownian motion. The interest rate and volatility rate are constant, and the financial market mathematical model was set up by the stochastic analysis for bi -fractional Brownian motion. Using the actuarial approach, the pricing formula of exchange option in bi -fractional Brownian motion environment was obtained.