学术
摘 要:
本文从股价收益的时变性和波动的长记忆性两个方面考虑，建立了分数O-U过程；接着在分数风险中性测度下，利用分数情形下的Girsanov定理获得了分数O-U过程的唯一等价测度；进而采用拟鞅（quasi-martin-gale）定价方法，得到了分数市场环境中的期权定价模型，使得布朗运动和O-U过程驱动的期杈定价模型均成为其特例；最后用算例，验证了长记忆参数H是期权定价中不可忽略的因素。[著者文摘]
文章出处:
《中国管理科学》-2007年15卷3期 -1-5页
分 类 号:
文献标识码:
A
文章编号:
1003-207（2007）03-0001-05
Model of Option Pricing Driven by Fractional Ornstein-Uhlenback Process
ZHAO Wei,HE Jian-min （School of Economics and Management, Southeast University, Nanjing 210096,China）
Abstract:
Considering the time variability of stock return and long memory of volatility, a fractional O-U process is given. Under the fractional risk neutral measure, we get the unique equivalent measure by using fractional Girsanov theorem. With quasi-martingale method, this paper solves an option pricing model in the fractional market, which makes original Black-Scholes equation as an special example. At last, a numerical case is employed to show that the long memory parameter H is an important factor in option pricing.[著者文摘]
Key words:
fractional Brownian motion ; fractional O-U process ; quasi-martingale
基金资助:
基金项目：国家自然科学基金资助项目（70371035;70671025）
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