摘要
利用公平保费原则和价格过程的实际概率测度推广了Mogens Bladt和Hina Hviid Rydberg关于欧式期权定价的结果。假定股票价格过程遵循分数布朗运动和带非时齐Poisson跳跃的扩散过程,并且股票预期收益率、无风险利率均为时间函数的情况下,获得了欧式期权精确定价公式和买权与卖权之间的平价关系。
Using physical probabilistic measure of price process and the principle of fair premium, we generalize the results of Mogens Bladt and Hviid Rydberg on European option pricing. Under the assumptions that stocks price process is driven by fractional Brownian Motion and nonhomogeneous Poisson jump process, and the expected rate μ（ t ） and riskless rate r（ t ） are function of time, we obtain a accurate pricing formula and put-call parity of European option.
出处
《山东建筑大学学报》
2008年第1期70-73,共4页
Journal of Shandong Jianzhu University
关键词
分数布朗运动
保险精算定价
期权定价
fractional Brownian Motion
insurance actuary pricing
option pricing
