哈尔滨商业大学学报（自然科学版）2012，Vol.28Issue(5)：616-619,4.
分数布朗运动环境下缺口期权定价模型
Gap option pricing model in fractional Brownian motion environment
摘要
Abstract
This paper assumed that asset price process follows stochastic differential equations driven by fractional Brownian motion, and interest rate satisfied the Vasicek model. The financial market mathematical model was built, driven by fractional Brownian motion. Using for stochastic analysis theory fractional Brownian motion and the method for actuarial mathematics, the pricing formula of gap option was obtained.关键词
分数布朗运动/缺口期权/随机利率/保险精算Key words
fractional Brownian motion/gap option/stochastic interest rate/ actuarial mathematics分类
管理科学引用本文复制引用
蔺捷,薛红,王晓东..分数布朗运动环境下缺口期权定价模型[J].哈尔滨商业大学学报（自然科学版）,2012,28(5):616-619,4.基金项目
陕西省教育厅专项基金项目(2010JM1010). （2010JM1010）
