| 分数布朗运动环境下具有随机寿命的欧式未定权益的定价 |
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| 引用本文： | 薛红,文福强,李巧艳. 分数布朗运动环境下具有随机寿命的欧式未定权益的定价[J]. 纺织高校基础科学学报, 2006, 19(4): 351-355 |
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| 作者姓名： | 薛红 文福强 李巧艳 |
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| 作者单位： | 西安工程大学,理学院,陕西,西安,710048 |
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| 摘 要： | 利用关于分数布朗运动的随机分析理论,给出分数布朗运动环境下欧式未定权益定价模型.在此基础上,建立了具有随机寿命的欧式未定权益定价模型,并得到一些具体的欧式未定权益定价公式.
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| 关 键 词： | 分数布朗运动 欧式未定权益 随机寿命 |
| 文章编号： | 1006-8341（2006）04-0351-05 |
| 收稿时间： | 2006-02-20 |
| 修稿时间： | 2006-02-20 |
Pricing on European contingent claim with stochastic life under fractional Brownian motion environment |
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| XUE Hong,WEN Fu-Qiang,LI Qiao-yan. Pricing on European contingent claim with stochastic life under fractional Brownian motion environment[J]. Basic Sciences Journal of Textile Universities, 2006, 19(4): 351-355 |
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| Authors: | XUE Hong WEN Fu-Qiang LI Qiao-yan |
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| Abstract: | By means of stochastic analysis theory related to fractional Brownical motion,the pricing model of European contingent claim is given.On this basis,the pricing model of European contingent claim with stochastic life is discussed,and some pricing formulas of European contingent claim with stochastic life are obtained. |
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| Keywords: | fractional Brownian motion Europenan contingent claim stochastic life |
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