一种赋权的分数交换期权定价模型
일충부권적분수교환기권정개모형
A Weighted-fractional Model to Exchange Option Pricing
  • 万方数据
    蚌埠学院学报 방부학원학보
    JOURNAL OF BENGBU COLLEGE
    2015年 1期 27-30 ,共4页

    孙西超%王梓宇%张杰

    손서초%왕재우%장걸

    赋权分数布朗运动%长程相依%交换期权%期权定价%保险精算 賦權分數佈朗運動%長程相依%交換期權%期權定價%保險精算
    부권분수포랑운동%장정상의%교환기권%기권정개%보험정산
    weighted fractional Brownian motion%long-range dependence%exchange option%option pri-cing%insurance actuary
    研究了赋权分数布朗运动环境下的欧式交换期权定价问题。假设两种股票的价格过程都服从赋权分数布朗运动驱动的随机微分方程，利用保险精算的定价方法得到了交换期权的定价公式。
    연구료부권분수포랑운동배경하적구식교환기권정개문제。가설량충고표적개격과정도복종부권분수포랑운동구동적수궤미분방정，이용보험정산적정개방법득도료교환기권적정개공식。
    The problem of pricing exchange options in weighted fractional Brownian motion environment was considered in the paper.Under the condition that the two stock pricing processes obey the stochastic differential equation driven by weighted fractional Brownian motion,the pricing formula of exchange op-tions was obtained via insurance actuary pricing.
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