期刊信息
- 刊名： 河北师范大学学报（自然科学版）Journal of Hebei Normal University (Natural Science)
- 主办： 河北师范大学
- ISSN： 1000-5854
- CN： 13-1061/N
- 中国科技核心期刊
- 中国期刊方阵入选期刊
- 中国高校优秀科技期刊
- 华北优秀期刊
- 河北省优秀科技期刊
双分数Ornstein-Uhlenback过程下后定选择权定价模型
- 西安工程大学 理学院, 陕西 西安 710048
-
DOI：10.13763/j.cnki.jhebnu.nse.2018.06.003
A Pricing Models for Chooser Options Under a Bi-fractional Ornstein-Uhlenback Process
摘要/Abstract
摘要：
为了使股票价格更符合金融市场的实际情况，引入了双分数Ornstein-Uhlenback过程驱动的随机微分方程.假定期望收益率、无风险利率和波动率均为常数.利用双分数布朗运动环境下的随机分析知识，建立了Ornstein-Uhlenback过程下的金融市场模型，结合保险精算的方法，推得了后定选择权的定价公式.
Abstract：
In order to make the stock price to approximate the market price,we uses the stochastic differential equation driven by the Ornstein-Uhlenback process of a bi-fractional Brownian motion.It is assumed that the expected rate and risk-free and the volatility are constants.The financial market mathematical model under the Ornstein-Uhlenback process is built by the stochastic analysis for bi-fractional Brownian motion.Combining the actuarial approach, the pricing formula of the chooser option is obtained.
关键词
关键词：
Ornstein-Uhlenback过程
;
双分数布朗运动
;
保险精算
;
后定选择权
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