西安工程大学学报2011，Vol.25Issue(2)：261-265,5.
分数跳-扩散环境下欧式双向期权定价的Ornstein-Uhlenbeck模型
Ornstein-Uhlenbeck model of european bi-direction option pricing in fractional jump-diffusion environment
摘要
Abstract
Under the hypothesis that stock price is driven by fractional Brownian motion and compound poisson process, the fractional jump-diffusion Ornstein-Uhlenback model is built. Using the insurance actuary method and the fair premium principle, european bi-direction option pricing formula is obtained.关键词
分数布朗运动/跳-扩散过程/保险精算方法/欧式双向期权Key words
fractional Brownian motion/ jump-diffusion process/ insurance actuary method/ european bi-direction option分类
数理科学引用本文复制引用
马惠馨,薛红,杨珊..分数跳-扩散环境下欧式双向期权定价的Ornstein-Uhlenbeck模型[J].西安工程大学学报,2011,25(2):261-265,5.基金项目
陕西省教育厅自然科学专项基金资助项目(09JK464) （09JK464）
