混合次分数布朗运动下交换期权的定价

Exchange Option Pricing in Mixed Sub-fractional Brownian Motion

考虑混合次分数布朗运动过程下交换期权的定价问题。在标的资产价格服从混合次分数布朗运动模型条件下,利用混合次分数布朗运动的随机分析理论和偏微分方程方法,建立混合次分数布朗运动驱动下的金融市场模型,并得到交换期权的定价公式。该模型也可应用于其他期权的定价。

This paper considers the pricing problem of the exchange option in the mixed sub-fractional Brownian motion. Under the assuming of the stock price obeying mixed sub-fractional Brownian motion,the mathematical model for the financial market in the mixed sub-fractional Brownian motion setting is established. Using the mixed sub-fractional Brownian motion theory and PDE approach,the general pricing formula for the exchange option is obtained.