摘要
Mogens Bladt和Tina Hviid Rydberg的无市场假设仅利用价格过程的实际概率测度的期权保险精算定价模型,文章在标的资产服从分数布朗运动的环境下,借助保险精算的方法,给出亚式期权的定价公式,进一步论证了几何布朗运动是分数布朗运动的一种特殊情况,可以基于分数布朗运动推广原有模型。
Without market assumptions,Mogens Bladt and Tina Hviid Rydberg use merely probability measure of price process and actuarial considerations for pricing options.Based on their study and using the method of actuarial pricing,this paper obtains Asian option pricing formula when underlying assets are driven by fractional Brownian motion.And the paper concludes that the geometric Brownian motion is a special case of fractional Brownian motion.Then the classical model of option pricing can be generalized based on fractional Brownian motion.
出处
《合肥工业大学学报（自然科学版）》
CAS
CSCD
北大核心
2011年第2期317-320,共4页
Journal of Hefei University of Technology：Natural Science
关键词
分数布朗运动
亚式期权定价
保险精算
fractional Brownian motion
Asian option pricing
actuarial pricing
