摘要
为了体现金融资产的长记忆性,采用几何双分式布朗运动刻画欧式期权标的资产价格变化的行为模式。建立了双分式布朗运动环境下的欧式期权价值所满足的偏微分方程,并通过边界条件和变量代换得到该偏微分方程的解,即欧式期权的定价公式。
In order to reflect the long memory property of the financial assets, this paper uses the geometric bifractional Brownian motion to capture the underlying asset of European option. Moreover, a partial differential equation formulation for valuing European option is proposed. Using the boundary condition and the method of variable substitution, this paper obtains the solution for this partial differential equation-the pricing formula for European option.
出处
《价值工程》
2018年第7期197-199,共3页
Value Engineering
基金
江苏高校哲学社会科学基金指导项目"次分数布朗运动驱动的期权定价研究"(2016SJD790039)
苏州市职业大学创新基金资助项目(项目编号:2013SZDYY05)
关键词
双分式布朗运动
欧式期权
长记忆性
定价
bi-fractional Brownian motion
European option
long memory
pricing
