分数布朗运动下随机执行价的领子期权定价

The Pricing of Collar Option with Stochastic Strike Price under Fractional Brownian Motion

假设股票价格及敲定价格均服从几何分数布朗运动,但分别受不同市场因素影响,且无风险利率、波动率等均为关于时间的确定性函数,利用拟鞅和测度变换的方法,得到了该模型下领子期权定价公式并进行了数值分析.

Assuming the stock price and strike price follow geometric fractional Brownian motion but they are affected by different market factors, and with no time varying certain function like risk interest rate or volatility, the pricing formulas of collar option under this model are obtained by using the method of quasi martingale and measure transformation and numerical analysis is made.