摘要
本文主要研究在次分数布朗运动下两值期权定价问题.利用随机分析理论和次分数It觝公式,建立了次分数布朗运动环境下两值期权的定价模型.利用变量代换和偏微分方程的相关知识对此定价模型求解,得到了次分数布朗运动下两值期权的定价公式.
The problem of pricing Binary option under the sub-fractional Brownian motion is investigated in this paper. The binary option pricing model is established by using stochastic calculus theory and sub-fractional Ito formula. The variable change and the method of partial differential equation are used to solve this model, and then the pricing formula is derived for the binary option under the sub-fractional Brownian motion.
作者
叶芳琴
刘文倩
林先伟
YE Fangqin;LIU Wenqian;LIN Xianwei(School of Business, Shantou University, Shantou 515063, Guangdong, China;Department of Mathematics, Shantou University, Shantou 515063, Guangdong, China)
出处
《汕头大学学报（自然科学版）》
2019年第1期13-18,共6页
Journal of Shantou University：Natural Science Edition
基金
国家自然科学基金资助项目(11720101003)
广东省教育厅重点平台及科研项目(2017KQNCXO78)
汕头大学科研启动经费资助项目(STF17005)
关键词
次分数布朗运动
两值期权
期权定价
偏微分方程
sub-fractional Brownian motion
binary option
option pricing
partial differential equation
