宁夏大学学报（自然科学版）2017，Vol.38Issue(4)：338-341,352,5.
混合双分数布朗运动下欧式期权的定价
Pricing European Option in A Mixed Bi-fractional Brownian Motion
摘要
Abstract
The pricing problems of European call option are investigated in the research background of short-term random rate of mixed bi-fractional Brownian motion.By using It(o) formula of mixed bi-fractional Brownian motion,it can be launched that the zero coupon's expression of short-term interest subjects to Vasicek model.Then further utilizing the hedge principle and the variable substitution method,the partial differential equation of European option is established.Finally the pricing formula of European call option is obtained.关键词
期权定价/Vasicek模型/混合双分数布朗运动/Black-Scholes模型Key words
option pricing/Vasicek model/mixed bi-fractional brown motion/Black-Scholes model分类
数理科学引用本文复制引用
刘杰,张光晨..混合双分数布朗运动下欧式期权的定价[J].宁夏大学学报（自然科学版）,2017,38(4):338-341,352,5.基金项目
国家自然科学基金资助项目(91330101) （91330101）
