纺织高校基础科学学报2016，Vol.29Issue(3)：366-372,7.DOI:10.13338/j.issn.1006-8341.2016.03.016
双分数跳-扩散过程下再装期权定价模型
Reload option pricing model under bifractional j ump-diffusion process
摘要
Abstract
Assume that stock price follows the stochastic differential equation driven by the bi-fractional Brownian motion and j ump process,the financial mathematical model under bifrac-tional j ump-diffusion process is built by the stochastic analysis theory of the bifractional Brownian motion and j ump process.The reload option is discussed by using the actuarial ap-proach,and the reload option pricing formula is obtained.关键词
双分数布朗运动/跳-扩散过程/再装期权/保险精算Key words
bifractional Brownian motion/j ump-diffusion process/reload option/actuarial math-ematics分类
数理科学引用本文复制引用
吴江增,王秋莹,薛红..双分数跳-扩散过程下再装期权定价模型[J].纺织高校基础科学学报,2016,29(3):366-372,7.基金项目
陕西省教育厅自然科学专项基金资助项目(12JK0862) （12JK0862）
