宁夏大学学报（自然科学版）2017，Vol.38Issue(3)：242-251,10.
混合分数跳-扩散模型下一类保底基金的违约概率
Defaultable Probability of Fund with Promised Lowest Return under Mixed Jump-diffusion Fractional Brownian Motion
摘要
Abstract
The mixed jump-diffusion fractional Brownian motion model under the Itóformula and fractional diffusion process with non-homogeneous Poisson process is proposed.A special Volterra equations of stochastic differential equations are estimated by discussing the definite solution of the model.Then the explicit solution of the Volterra equations is given by the operator equation iterative method.Finally both the pricing formulas and default probability of the fund with promised lowest return are obtained,and the correlation between the ratio of excess return and the guaranteed return level are also given.关键词
混合跳-扩散分数布朗运动/Volterra型方程/概率密度/定价公式Key words
mixed jump-diffusion fractional Brownian motion/Volterra equations/probability density/pricing formula分类
数理科学引用本文复制引用
杨朝强..混合分数跳-扩散模型下一类保底基金的违约概率[J].宁夏大学学报（自然科学版）,2017,38(3):242-251,10.基金项目
兰州财经大学校级青年教师科研项目(Lzufe2017) （Lzufe2017）
