Markov调制的分数布朗运动模型下亚式期权定价

Pricing of Asian Option in Markov-modulated Fractional Brownian Motion Model

基于可靠性数学的思想,研究了Markov调制的分数布朗运动模型下亚式期权的定价问题.从亚式期权所满足的概率密度转移函数出发,利用无套利定价的方法,分别计算出具有固定敲定价格的亚式看涨和看跌期权的定价公式.

This paper studies the problem of pricing of Asian option in a Markov-modulated fractional Brownian motion based on reliability mathematics.Firstly,giving the probability density transfer function for the Asian option,and then using the non-arbitrage pricing method,the explicit analytical formula of Asian option with fixed strike price and floating execution price is obtained respectively.