应用数学2011，Vol.24Issue(3)：617-623,7.
Hurst指数属于(1/3,1/2)的分数模型的期权定价
Options Pricing of Fractional Model with Hurst Index H Being ( 1/3,1/2 )
梅正阳 1祁改珂 1王同柱1
作者信息
- 1. 华中科技大学数学与统计学院,湖北武汉430074
- 折叠
摘要
Abstract
In this paper,a new stochastic differential equation (SDE) which driven by fractional Brownian motion is introduced,the close formulation of Europe Call options price is derived when the price dynamics of stock satisfies this SDE.关键词
Hurst指数/分数Brown运动/Girsanov定理/Novikov条件/欧式期权Key words
H urst index/Fractional Brownian motion/Girsanov theorem/Novikov condition/European options分类
管理科学引用本文复制引用
梅正阳,祁改珂,王同柱..Hurst指数属于(1/3,1/2)的分数模型的期权定价[J].应用数学,2011,24(3):617-623,7.
