| 具有随机利率的分数型复合期权定价模型 |
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| 引用本文： | 杨淑彩,薛红,王晓东.具有随机利率的分数型复合期权定价模型[J].黑龙江商学院学报,2014(1):97-102. |
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| 作者姓名： | 杨淑彩 薛红 王晓东 |
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| 作者单位： | 西安工程大学理学院,西安710048 |
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| 基金项目： | 陕西省教育厅自然科学专项基金项目（12JK0862）. |
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| 摘 要： | 假定股票价格遵循分数布朗运动驱动的随机微分方程，利率满足由分数布朗运动驱动的Va-sicek 模型。利用分数布朗运动随机分析与方法，建立了随机利率下金融市场数学模型，得到了此模型下复合期权的定价公式。
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| 关 键 词： | 分数布朗运动 复合期权 随机利率 |
Fractional compound options pricing model with stochastic interest rate |
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| YANG Shu-cai,XUE Hong,WANG Xiao-dong.Fractional compound options pricing model with stochastic interest rate[J].Journal of Harbin Commercial University(Natural Sciences Edition),2014(1):97-102. |
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| Authors: | YANG Shu-cai XUE Hong WANG Xiao-dong |
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| Institution: | ( School of Science, Xin Polytechnic University, Xin 710048 , China ) |
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| Abstract: | It was supposed that stock price process followed stochastic differential equation driven by fractional Brownian motion , and interest rate met the Vasicek model driven by frac-tional Brownian motion .The mathematic model of financed market with stochastic interest rate was developed and the pricing formula for compound option was obtained by fractional Brownian motion stochastic analysis theory and method . |
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| Keywords: | fractional Brownian motion compound option stochastic interest rate |
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