| 分数布朗运动和泊松过程共同驱动下的欧式期权定价 |
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| 引用本文： | 隋梅真,张元庆. 分数布朗运动和泊松过程共同驱动下的欧式期权定价[J]. 山东建筑工程学院学报, 2008, 23(1): 70-73 |
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| 作者姓名： | 隋梅真 张元庆 |
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| 作者单位： | [1]山东建筑大学理学院,山东济南250101 [2]山东科技大学理学院,山东青岛266510 |
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| 摘 要： | 利用公平保费原则和价格过程的实际概率测度推广了MogensBladt和Hina Hviid Rydberg关于欧式期权定价的结果。假定股票价格过程遵循分数布朗运动和带非时齐Poisson跳跃的扩散过程，并且股票预期收益率、无风险利率均为时间函数的情况下，获得了欧式期权精确定价公式和买权与卖权之间的平价关系。
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| 关 键 词： | 分数布朗运动 保险精算定价 期权定价 |
An actuarial pricing options on stocks driven by fractional Brownian Motion and Poisson jump process |
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| Affiliation: | SUI Mei-zhen, ZHANG Yuan-qing ( 1. School of Science, Shandong Jianzhu University, Jinan 250101, China; 2. School of Science, Shandong University of Science and Technology, Qingdao 266510, China) |
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| Abstract: | Using physical probabilistic measure of price process and the principle of fair premium, we generalize the results of Mogens Bladt and Hviid Rydberg on European option pricing. Under the assumptions that stocks price process is driven by fractional Brownian Motion and nonhomogeneous Poisson jump process, and the expected rate μ（ t ） and riskless rate r（ t ） are function of time, we obtain a accurate pricing formula and put-call parity of European option. |
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| Keywords: | fractional Brownian Motion insurance actuary pricing option pricing |
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