摘要
在等价鞅测度下,研究标的资产价格服从几何分数布朗运动的幂期权看涨、看跌定价公式及其平价公式.并与基于标准布朗运动的幂期权定价公式进行比较分析,进一步论证布朗运动只是分数布朗运动的一种特例,可基于分数布朗运动对原有的期权定价模型进行推广.
By applying equivalent martingale measure. We derive the pricing iormuias for power option and call-put parity when underlying assets are driven by Fractional Brownian Motion. The conciusion will be compared with the classical results based on standard Brownian Motion. We point out that standard Brownian Motion is an especial case of Fractional Brownian Motion. The quondam option pricing model can be generalized.
出处
《大学数学》
2009年第5期69-72,共4页
College Mathematics
