北华大学学报（自然科学版）2025，Vol.26Issue(4)：428-435,8.DOI:10.11713/j.issn.1009-4822.2025.04.002
基于随机利率和混合双分数布朗运动下的亚式期权定价
Asian Option Pricing Based on Stochastic Interest Rate and Mixed Bi-fractional Brownian Motion
摘要
Abstract
Based on the stochastic interest rate Hull-White model,the pricing of Asian options with dividends and transaction costs under the mixed bi-fractional Brownian motion is studied.The partial differential equation and pricing formula for zero-coupon bonds are solved.Subsequently,the delta hedging principle and variable substitution method are applied to derive the analytical formula for option price.Finally,the influence of model parameters on the Asian option price is verified through numerical simulation.关键词
混合双分数布朗运动/亚式期权/随机利率/交易费用Key words
mixed bi-fractional Brownian motion/Asian option/stochastic interest rate/transaction cost分类
数理科学引用本文复制引用
任芳玲,孙茜,李昊文..基于随机利率和混合双分数布朗运动下的亚式期权定价[J].北华大学学报（自然科学版）,2025,26(4):428-435,8.基金项目
国家自然科学基金项目(12261089) （12261089）
延安大学教学改革重点研究项目(YDJGZD23-05) （YDJGZD23-05）
陕西省大学生创新创业训练计划项目(S202410719092). （S202410719092）
