| 几何分数布朗运动的再装期权定价 |
| |
| 引用本文： | 徐峰,周圣武. 几何分数布朗运动的再装期权定价[J]. 湖北工业大学学报, 2008, 23(5): 75-78 |
| |
| 作者姓名： | 徐峰 周圣武 |
| |
| 作者单位： | 1. 苏州市职业大学管理系,江苏,苏州,215104
2. 中国矿业大学理学院,江苏,徐州,221008 |
| |
| 摘 要： | 主要讨论了标的资产受几何分数布朗运动影响的再装期权定价问题;基于风险中性Esscher测度,给出了无风险利率分别为常数以及非随机函数的情况下的再装期权的定价公式.
|
| 关 键 词： | 几何分数布朗运动 再装期权 ESSCHER变换 期权定价 |
On Pricing Reload Option in Geometric Fractional Brownian Motion Environment |
| |
| XU Feng,ZHOU Sheng-wu. On Pricing Reload Option in Geometric Fractional Brownian Motion Environment[J]. Journal of Hubei University of Technology, 2008, 23(5): 75-78 |
| |
| Authors: | XU Feng ZHOU Sheng-wu |
| |
| Affiliation: | XU Feng, ZHOU Sheng-wu (1 Business Dep. ,Suzhou Vocational Vniversity ,Suzhou 215104,China; 2 College of Sci. ,Vniversity of Mining and Technology ,Xuzhou 221008,China) |
| |
| Abstract: | Pricing reload option in geometric fractional Brownian motion environment is investigated in the paper. The pricing formulas about two kinds of reload options are obtained by using risk-neutral Esscher transforms. |
| |
| Keywords: | geometric fractional Brownian motion reload option Esscher transforms option pricing |
| 本文献已被 维普 万方数据 等数据库收录！ |
|
