摘要
假设标的资产服从双分数布朗运动和跳过程驱动的随机微分方程,借助双分数布朗运动和跳过程随机分析理论,建立比分数布朗运动更一般的双分数跳-扩散过程下金融市场数学模型.运用保险精算方法研究再装期权定价问题,获得更一般的双分数跳-扩散过程下再装期权定价公式.
Assume that stock price follows the stochastic differential equation driven by the bifractional Brownian motion and jump process,the financial mathematical model under bifractional jump-diffusion process is built by the stochastic analysis theory of the bifractional Brownian motion and jump process.The reload option is discussed by using the actuarial approach,and the reload option pricing formula is obtained.
出处
《纺织高校基础科学学报》
CAS
2016年第3期366-372,共7页
Basic Sciences Journal of Textile Universities
基金
陕西省教育厅自然科学专项基金资助项目(12JK0862)
关键词
双分数布朗运动
跳-扩散过程
再装期权
保险精算
bifractional Brownian motion
jump-diffusion process
reload option
actuarial mathematics
