期刊论文

An Actuarial Approach to Index Options Pricing by Fractional Brownian Motion

中文

石家庄学院学报

1673-1972

2014

6

5-7

10.13573/j.cnki.sjzxyxb.20141111.001

衡阳市科技局项目（2012KJ17）；

本校为第一机构

讨论了指数期权中指数价格遵循分数Brown运动时的期权定价问题,并假设利率为常数的情况下,利用保险精算原理和价格过程的实际概率测度,得到了欧式指数看涨和看跌期权的定价公式.

Using physical probabilistic measure of price process and the principle of fair premium,this paper deals with pricing formula of index options under the assumption that index options price process driven by fractional Brownian motion. The pricing formula ...