佛山科学技术学院学报（自然科学版）2018，Vol.36Issue(2)：13-19,7.
混合分数布朗运动下两值期权的定价模型
Binary options pricing model in the mixed fractional Brownian motion environment
摘要
Abstract
Binary options are options that have only the corresponding value of the underlying asset's price, therefore have a discontinuity income of popular exotic option. In order to describe the long memory of the underlying asset and to eliminate the arbitrage in the financial market, this paper assumes that the underlying asset is subject to mixed fractional brown motion, binary option pricing model in the mixed fractional Brownian motion environment is obtained by using the martingale technique and stochastic analysis method. In order to understand the pricing model better, this paper analyzes the influence of Hurst index on pricing results.关键词
混合分数布朗运动/两值期权/定价模型/拟条件期望Key words
mixed fractional brownian motion/binary option/pricing model/quasi-conditional expectation分类
数理科学引用本文复制引用
付培,孙琳..混合分数布朗运动下两值期权的定价模型[J].佛山科学技术学院学报（自然科学版）,2018,36(2):13-19,7.基金项目
广东省自然科学基金资助项目(S2013010016270) （S2013010016270）
