期权定价的保险精算方法由M ogens B ladt和H ina Hv iid R ydberg于1998年首次提出,由于无任何市场假设,所以它不光对无套利、均衡、完备的市场有效,且对有套利、非均衡、不完备的市场也有效.本文利用保险精算方法讨论了股票价格服从分...期权定价的保险精算方法由M ogens B ladt和H ina Hv iid R ydberg于1998年首次提出,由于无任何市场假设,所以它不光对无套利、均衡、完备的市场有效,且对有套利、非均衡、不完备的市场也有效.本文利用保险精算方法讨论了股票价格服从分式B row n运动的欧式期权定价问题.展开更多
Let X (t)(t∈R^N) be a d-dimensional fractional Brownian motion. A contiunous function f:R^N→R^d is called a polar function of X(t)(t∈R^N) if P{ t∈R^N\{0},X(t)=t(t)}=0. In this paper, the characteristies of the cla...Let X (t)(t∈R^N) be a d-dimensional fractional Brownian motion. A contiunous function f:R^N→R^d is called a polar function of X(t)(t∈R^N) if P{ t∈R^N\{0},X(t)=t(t)}=0. In this paper, the characteristies of the class of polar functions are studied. Our theorem 1 improves the previous results of Graversen and Legall. Theorem2 solves a problem of Legall (1987) on Brownian motion.展开更多
文摘期权定价的保险精算方法由M ogens B ladt和H ina Hv iid R ydberg于1998年首次提出,由于无任何市场假设,所以它不光对无套利、均衡、完备的市场有效,且对有套利、非均衡、不完备的市场也有效.本文利用保险精算方法讨论了股票价格服从分式B row n运动的欧式期权定价问题.
文摘Let X (t)(t∈R^N) be a d-dimensional fractional Brownian motion. A contiunous function f:R^N→R^d is called a polar function of X(t)(t∈R^N) if P{ t∈R^N\{0},X(t)=t(t)}=0. In this paper, the characteristies of the class of polar functions are studied. Our theorem 1 improves the previous results of Graversen and Legall. Theorem2 solves a problem of Legall (1987) on Brownian motion.
