分数布朗运动环境下的双标的两值期权定价模型

分数布朗运动由于具有自相似和长期相关等分形特性,已成为数理金融研究中更为合适的工具.通过假定股票价格服从几何分数布朗运动,构建了It分数Black-Scholes市场,在分数风险中性测度下,利用拟鞅定价方法求解了分数Black-Scholes期权定价模型,并研究了分数情形下双标的两值期权定价问题.研究结果表明,与标准期权价格相比,分数期权价格要同时取决于到期日和Hurst参数.

Pricing Model of Bivariate Binary Options in FBM Environment

The self-similarity and long-range dependence properties make the Fractional Brownian motion a suitable tool in different applications like mathematical finance.This paper used the hypotheses that price follows geometric FBM to construct the It fractional Black-Scholes market.Using the quasi-martingale method based on the fractional risk neutral measure,it solved the fractional Black-Scholes model.Moreover,the pricing model of Bivariate Binary Options in FBM environment was discussed.Results showed that fra...