双分数布朗运动环境下的篮子期权定价

Pricing of basket option in bi-fractional Brownian motion environment

为了更贴合股票价格变化的实际过程,假定股票价格遵循双分数布朗运动驱动的随机微分方程,在期望收益率和波动率均为常数的情况下,利用双分数布朗运动的随机分析理论和保险精算方法,得到了双分数布朗运动环境下的欧式几何篮子期权定价公式.

In order to fit the actual process of stock price changes,assume that the stock price follows the stochastic differential equations driven by bi-fractional Brownian motion,the expected returns and the volatility are constant.The pricing of basket option is discussed by bi-fractional Brownian motion stochastic differential theory and the insurance actuary approach,and the pricing formula of european geometric basket option in bi-fractional jump-diffusion environment is obtained.