双分数布朗运动下实物期权的定价

The Pricing of Real Options Under the Bi-fractional Brownian Motion

假设实物期权的标的资产满足由双分数布朗运动驱动的随机微分方程,且收益率、波动率都是时间的确定性连续函数,借助双分数布朗运动的随机分析理论,利用保险精算法,得到了双分数布朗运动下实物期权的更一般定价公式。

Assuming that the underlying assets of real options satisfy the stochastic differential equation driven by the double-score Brownian motion,and that the rate of return and volatility are deterministic continuous functions of time,a more general pricing formula of real options under double-score Brownian motion is obtained by using the insurance precision algorithm with the help of the stochastic analysis theory of double-score Brownian motion.