摘要
假定股票价格服从几何分数布朗运动,利率服从分数Vasicek模型,利用风险对冲技术和分数Ito公式,给出连续型几何平均亚式看涨期权价格满足的偏微分方程,并推导出了连续型几何平均亚式看涨、看跌期权定价公式以及它们的平价公式.
Under the assumption that the stock price obeys the stochastic differential equation driven by fractional Brownian motion and the interest rate satisfies the fractional Vasicek model,using risk hedging technique and fractional Ito formula,we establish the partial differential equations for continuous geometric average Asian call option price.Furthermore,we obtain the general pricing formula of continuous geometric average Asian option.Finally,we get the explicit expression of continuous geometric average Asian call,put option price and the call-put parity.
出处
《应用数学学报》
CSCD
北大核心
2014年第4期662-675,共14页
Acta Mathematicae Applicatae Sinica
基金
国家自然科学基金(11001029
11371362)
中央高校基本科研业务费专项基金(BUPT2012RC0709)
国家留学基金资助项目
