双分数布朗运动环境下脆弱期权定价

Vulnerable option pricing models in bi-fractional environment

与分数布朗运动相比,双分数布朗运动是一个更一般的高斯过程.因此,在双分数运动随机分析理论基础上,假定股票价格、公司价值和公司负债均服从双分数布朗运动驱动的随机微分方程,运用保险精算方法推导出脆弱期权在双分数布朗运动环境下的定价公式.

For the fractional Brownian motion,the bi-fractional Brownian motion is a more general Gaussian process.Based on the theory of stochastic analysis of bi-fractional Brownian motion,it assumes that the stock price,the firm value and the corporate liability all satisfy the stochastic differential equation driven by bi-fractional Brownian motion.Using the actuarial approach,the pricing formula of vulnerable option in bi-fractional Brownian motion environment is obtained.