基于长记忆性特征的欧式回望期权模糊定价研究

Fuzzy Pricing of European Lookback Option Based on Long-term Memory Characteristics

为了将金融市场的长记忆性特征和投资者的犹豫程度纳入到欧式回望期权的定价模型中,本文利用混合分数布朗运动来刻画股价的变化过程,并引入三角直觉模糊数来描述投资行为的模糊性。数值实验结果表明:基于上述理论建立的定价模型更能体现投资者的犹豫程度。

In order to incorporate the long-term memory characteristics of financial markets and the hesitancy degree of investors into the pricing model of European lookback option,this paper uses mixed fractional Brownian motion to describe the process of stock price change,and introduces the triangular intuitionistic fuzzy number to describe the fuzziness of investment behavior.The results of numerical experiments show that the pricing model based on the above theory can better reflect the hesitancy degree of investors.