| 在分数Brown运动环境下具有红利支付期权定价的鞅分析 |
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| 引用本文： | 于艳娜,孔繁亮. 在分数Brown运动环境下具有红利支付期权定价的鞅分析[J]. 哈尔滨理工大学学报, 2010, 15(2): 92-94,98 |
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| 作者姓名： | 于艳娜 孔繁亮 |
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| 作者单位： | 哈尔滨理工大学,应用科学学院,黑龙江,哈尔滨,150080 |
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| 摘 要： | 本文在分数Brown运动环境下,利用基础资产价格逼近过程的鞅性,推导分析了具有红利支付时期期权定价方程.
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| 关 键 词： | 鞅 期权定价 分数Brown运动 红利 |
Pricing of Option on Dividend-paying Stock in a Fractional Brownian Motion Environment by Martingale Analysis |
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| YU Yan-na,KONG Fan-liang. Pricing of Option on Dividend-paying Stock in a Fractional Brownian Motion Environment by Martingale Analysis[J]. Journal of Harbin University of Science and Technology, 2010, 15(2): 92-94,98 |
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| Authors: | YU Yan-na KONG Fan-liang |
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| Affiliation: | (School of Applied Science,Harbin University of Science and Technology,Harbin 150080,China) |
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| Abstract: | Under the fractional Brownian motion environment,this article uses the foundation asset price approaching the process in the property of Martingale.We derive and analyze the stage in having dividend-paying of the option fixed price equation. |
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| Keywords: | martingale option pricing fractional brownian motion dividends |
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