期刊信息
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- 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
随机利率下股票价格服从几何分数布朗运动的幂期权定价
- 河北师范大学 数学与信息科学学院, 河北 石家庄 050024
-
DOI:
10.11826/j.issn.1000-5854.2014.02.002
The Power Option Pricing Under the Fractional Brownian Motion and Ho-Lee Model
摘要/Abstract
摘要:
在标的资产价格服从分数布朗运动的假设下,并且在利率为Ho-Lee模型下,推导出了随机利率下幂期权的定价公式,从而推广了以前的结果.
Abstract:
On the condition that the asset price process drived by a combination of fractional Brownian motion and Ho-Lee model,we deduced the power option pricing formulas, which contained the results of the previous articles.
关键词
Key words:
fractional Browian motion
;
power option
;
Ho-Lee model
;
stochastic interest rate
参考文献 11
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