摘要
假设无风险利率遵循Vasicek模型,运用混合分数布朗运动的It公式,将欧式期权的定价转化成一个偏微分方程的求解问题.最后,通过求解偏微分方程获得了欧式期权的定价公式.
Assuming that the riskless interest rate is driven by Vasicek model, the European option pricing is changed into the question of solving partial differential equation by It6 formula of mixed fractional Brownian motion. Finally, a general pricing formula of European option is obtained by using the partial differential equation method.
出处
《西北师范大学学报（自然科学版）》
CAS
北大核心
2015年第6期35-38,共4页
Journal of Northwest Normal University(Natural Science)
基金
苏州市职业大学创新基金资助项目(2013SZDYY05)
