Hurst指数属于(1/3,1/2)的分数模型的期权定价
Hurst지수속우(1/3,1/2)적분수모형적기권정개
Options Pricing of Fractional Model with Hurst Index H Being ( 1/3,1/2 )
  • 万方数据
    应用数学 응용수학
    MATHEMATICA APPLICATA
    2011年 3期 617-623 ,共7页

    梅正阳%祁改珂%王同柱

    매정양%기개가%왕동주

    Hurst指数%分数Brown运动%Girsanov定理%Novikov条件%欧式期权 Hurst指數%分數Brown運動%Girsanov定理%Novikov條件%歐式期權
    Hurst지수%분수Brown운동%Girsanov정리%Novikov조건%구식기권
    H urst index%Fractional Brownian motion%Girsanov theorem%Novikov condition%European options
    本文建立了由一类分数Brown运动驱动的新的随机微分方程模型,当基础资产价格运动服从该随机微分方程时,推导出了欧式期权的解析公式.
    본문건립료유일류분수Brown운동구동적신적수궤미분방정모형,당기출자산개격운동복종해수궤미분방정시,추도출료구식기권적해석공식.
    In this paper,a new stochastic differential equation (SDE) which driven by fractional Brownian motion is introduced,the close formulation of Europe Call options price is derived when the price dynamics of stock satisfies this SDE.
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