南京师大学报（自然科学版）2025，Vol.48Issue(1)：6-12,7.DOI:10.3969/j.issn.1001-4616.2025.01.002
分数布朗运动情形下利率随机的双标的型两值期权定价
Pricing of Binary Options with Two Underlyings Under Stochastic Interest Rate About Fractional Brownian Motion
摘要
Abstract
In this paper,the quasi-martingale method with different pricing units is used to derive the pricing formulas of the two types of binary two-value options with the random interest rate obeying Vasicek model and the two types of underlying assets obeying the standard fractional Brownian motion with certain correlation.关键词
分数布朗运动/随机利率/拟鞅方法/改变计价单位Key words
fractional Brownian motion/random interest rate/quasi-martingale method/change valuation unit分类
管理科学引用本文复制引用
黄凤云,刘国祥,王成冬,章新婕..分数布朗运动情形下利率随机的双标的型两值期权定价[J].南京师大学报（自然科学版）,2025,48(1):6-12,7.基金项目
国家社会科学基金项目(21BTJ044). （21BTJ044）
