| 股票价格服从分数布朗运动的再装期权定价 |
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| 引用本文： | 罗春玲,王晓勤. 股票价格服从分数布朗运动的再装期权定价[J]. 价值工程, 2011, 30(13): 143-144 |
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| 作者姓名： | 罗春玲 王晓勤 |
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| 作者单位： | 1. 广安职业技术学院,广安,638000
2. 广安市审计局,广安,638000 |
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| 摘 要： | 未定权益的定价是金融工程研究的前沿与热点问题。本文在标的资产的价格服从分数布朗运动的假设下,在风险中性条件下,运用鞅方法,导出了再装期权的定价公式。
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| 关 键 词： | 再装股票期权 分数布朗运动 鞅方法 |
Reload Stock Option Pricing with Underlying Stock Asset Obeying Fractional Brownian Motion |
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| Luo Chunling,Wang Xiaoqin. Reload Stock Option Pricing with Underlying Stock Asset Obeying Fractional Brownian Motion[J]. Value Engineering, 2011, 30(13): 143-144 |
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| Authors: | Luo Chunling Wang Xiaoqin |
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| Affiliation: | ① Luo Chunling;② Wang Xiaoqin(①Guangan Vocational and Technical College,Guang’an 638000,China;②Bureau of Audit of Guangan Municipality,Guang’an 638000,China) |
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| Abstract: | The pricing of contingent claim is the frontiers field in today's financal engineering research.This paper presents the pricing formula of reload options under the hypotyesis of underlying asset price submitting to fractional Bromnian motion using the martingale method in the condition of risk-neutral. |
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| Keywords: | reload stock options fractional Brownian motion the Matringale method |
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