具有随机利率的分数型复合期权定价模型
구유수궤리솔적분수형복합기권정개모형
Fractional compound options pricing model with stochastic interest rate
  • 万方数据
    哈尔滨商业大学学报（自然科学版） 합이빈상업대학학보（자연과학판）
    JOURNAL OF HARBIN UNIVERSITY OF COMMERCE(NATURAL SCIENCES EDITION)
    2014年 1期 97-102 ,共6页

    杨淑彩%薛红%王晓东

    양숙채%설홍%왕효동

    分数布朗运动%复合期权%随机利率 分數佈朗運動%複閤期權%隨機利率
    분수포랑운동%복합기권%수궤리솔
    fractional Brownian motion%compound option%stochastic interest rate
    假定股票价格遵循分数布朗运动驱动的随机微分方程，利率满足由分数布朗运动驱动的Va-sicek 模型。利用分数布朗运动随机分析与方法，建立了随机利率下金融市场数学模型，得到了此模型下复合期权的定价公式。
    가정고표개격준순분수포랑운동구동적수궤미분방정，리솔만족유분수포랑운동구동적Va-sicek 모형。이용분수포랑운동수궤분석여방법，건립료수궤리솔하금융시장수학모형，득도료차모형하복합기권적정개공식。
    It was supposed that stock price process followed stochastic differential equation driven by fractional Brownian motion , and interest rate met the Vasicek model driven by frac-tional Brownian motion .The mathematic model of financed market with stochastic interest rate was developed and the pricing formula for compound option was obtained by fractional Brownian motion stochastic analysis theory and method .
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