| 汇率变动的分数阶福克——普朗克方程 |
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| 引用本文： | 邱清华,肖建斌.汇率变动的分数阶福克——普朗克方程[J].杭州电子科技大学学报,2011,31(3):82-84. |
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| 作者姓名： | 邱清华 肖建斌 |
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| 作者单位： | 杭州电子科技大学,理学院,浙江杭州,310018 |
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| 基金项目： | 浙江省自然科学基金资助项目 |
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| 摘 要： | 该文主要运用拉普拉斯变换、拉普拉斯逆变换,以R.Friench模型为基础,推导出随机过程{△X(Sα(t))}的概率密度函数所满足的分数阶福克-普朗克方程.并且指出,所得到的分数阶福克-普朗克方程要比古典的福克-普朗克方程优越,更适合描述外汇市场中外汇的变化规律,从而为下一步推导非古典的期权定价方程奠定了理论基础.
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| 关 键 词： | 逆子扩散算子 分数阶福克-普朗克方程 分数阶导数 |
The Application of Inverse-stable Subordinate in Foreign Exchange Market |
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| QIU Qing-hua,XIAO Jian-bin.The Application of Inverse-stable Subordinate in Foreign Exchange Market[J].Journal of Hangzhou Dianzi University,2011,31(3):82-84. |
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| Authors: | QIU Qing-hua XIAO Jian-bin |
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| Affiliation: | (School of Science,Hangzhou Dianzi University,Hangzhou Zhejiang 310018,China) |
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| Abstract: | In this paper,we mainly use the method of Laplace transform,Laplace inverse transform.Based on the model（1）,we give the fractional Fokker-Planck equation which satisfies the probability density function of the stochastic process {ΔX（Sα（t））}.Pointing out,the fractional Fokker-Planck equation is more excellent than the classical Fokker-Planck equation,for it describes the change of foreign exchange rate more rationally.Just based on this,we can derive the option price equation which is not classical. |
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| Keywords: | α-stable subordinator fractional Fokker-Planck equation fractional derivative |
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