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| 摘要: |
| 本文研究了混合分数布朗运动环境下欧式期权定价问题.运用混合分数布朗运动的Ito公式,得到了Black-Scholes偏微分方程.同时,通过求解Black-Scholes方程,得到了欧式看涨、看跌期权的定价公式。推广了Black-Scholes模型有关欧式期权定价的结论. |
| 关键词: 期权定价 vasicek 模型 Black-Scholes 模型 混合分数布朗运动 |
| DOI： |
| 分类号:O211.63 |
| 基金项目:国家自然科学基金资助项目(11271235). |
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| EUROPEAN OPTION PRICING UNDER THE VASICEK MODEL OF THE SHORT RATE IN MIXED FRACTIONAL BROWNIAN MOTION ENVIRONMENT |
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LI Zhi-guang,KANG Shu-gui
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| Abstract: |
| In this paper, the option pricing problem of European option is studied in the mixed fractional Brownian motion environment. By using fractional Itŏ formula, the Black-Scholes partial difierential equation is obtained. And the pricing formulae of the European call and put option are obtained by partial difierential equation theory. The results of Black-Scholes model are generalized. |
| Key words: option pricing vasicek model Black-Scholes model mixed fractional Brownian motion. |
