| 标的资产价格服从分数维布朗运动的差价期权定价 |
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| 引用本文： | 刘海媛,朱红艳,索新丽. 标的资产价格服从分数维布朗运动的差价期权定价[J]. 徐州工程学院学报, 2006, 21(12): 20-23 |
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| 作者姓名： | 刘海媛 朱红艳 索新丽 |
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| 作者单位： | 中国矿业大学,江苏,徐州,221008 |
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| 摘 要： | 利用分数维布朗运动模型来描述金融价格的变动.在假定标的资产价格服从分数维布朗运动的新模式下,讨论标的资产有红利支付时的欧式差价期权的定价公式,并给出计算公式.
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| 关 键 词： | 分数维布朗运动 差价期权 定价 |
| 文章编号： | 1673-0704（2006）12-0020-04 |
| 收稿时间： | 2006-06-28 |
| 修稿时间： | 2006-06-28 |
Pricing of Spread Option with the Underlying Asset Price Following Fractional Brownian Motion |
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| LIU Hai-yuan,ZHU Hong-yan,SUO Xin-li. Pricing of Spread Option with the Underlying Asset Price Following Fractional Brownian Motion[J]. Journal of Xuzhou Istitute of Technology, 2006, 21(12): 20-23 |
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| Authors: | LIU Hai-yuan ZHU Hong-yan SUO Xin-li |
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| Abstract: | In this paper Fractional Brownian Motion model is employed to describe the changes of the prices of financial instrument.Under the hypothesis that underlying asset price follows fractional Brownian motion,some formulas of the Pricing of European Spread Option are obtained when the underlying asset on dividend-pay. |
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| Keywords: | Fractional Brownian Motion spread option pricing |
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