分数布朗运动下的看跌期权定价

Stochastic interest rate model based on fractional option pricing

要对金融产品进行透彻的研究和管理,就必须正确的确定金融衍生物的价格问题,其中,期权定价的研究正是金融领域的重要研究部分。通过研究由分数布朗运动驱动的金融市场,考虑标的资产价格服从几何分数布朗运动,在假定无风险利率和红利发放率非随机的情况之下,将服从普通布朗运动的经典B-S期权定价模型推广至服从分数布朗运动,从而得到欧式看跌期权的定价公式。

To make a thorough study on the financial product and management, we must correctly identify the financial derivatives prices. Among them, the investigation of option pricing is the financial domain important research part. In this paper, study was conducted by fractional Brownian motion-driven financial markets, consider the underlying asset price follows geometric fractional Brownian motion, assuming risk-free interest rate and the dividend distribution rate of non-random circumstances, be subordinated to the ordinary Brownian motion, a classic B-S option pricing model to promote to obey fractional Brownian motion, which received European put option pricing formula.