分形跳扩散过程下执行价格不确定的外汇期权定价

Implementing Uncertain Pricing for Foreign Exchange Options in the Process of Fractal Jump and Diffusion

在汇率过程为分形跳扩散过程,执行价格不确定的情形下,构造出汇率函数受跳扩散过程和分形Brown运动共同驱动的模型,得到了外汇期权的定价公式。

The exchange rate process consists of the fractal jump and diffusion process which constructs the model of exchange rate function jointed driven by jump-diffusion process and fractal Brown motion, and thus obtains the pricing formula on foreign exchange options under the circumstance of implementing uncertain pricing.