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
Chooser Option Pricing in Sub-fractional Brownian Motion Environment
摘要/Abstract
摘要：
为描述分数布朗运动难以描述的股价收益率变化非平稳的金融市场，假定股票价格服从次分数布朗运动，借助次分数随机分析理论和保险精算方法，得到了后定选择权定价公式.并通过分析期权价格灵敏度，说明各参数对期权价格有着不同的影响，另外给出了相应数值算例，表明金融市场不同的分形结构对期权价格有显著的影响.
Abstract：
In order to describe the non-stationary financial market in which the stock price returns change with fractional Brownian motion is difficult to describe,assume that the stock price obeys sub-fractional Brownian motion.The pricing formula of chooser option is obtained by the sub-fractional stochastic analysis theory and the insurance actuarial method.In addition,it shows each parameter has different influence on option price through the analysis of option price sensitivity,and numerical examples are given to show that different fractal structures of financial markets have significant effects on option prices.
关键词
参考文献 21
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