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研究分数B-S市场中的期权定价问题.通过选取不同的资产作为计价单位及相应的测度变换,将经典模型中的计价单位变换方法推广到分数布朗运动市场环境,既丰富了分数期权定价的拟鞅方法,也得到了分数期权定价公式的新的推导方法.
This paper studies the problem of option pricing in the market of fractional BS.By selecting different assets as the unit of valuation and the corresponding measure transformation, the transformation of the unit of valuation in the classical model is extended to the fractional Brownian motion market environment, which not only enriches the martingale of fractional option pricing Method, also obtained a new derivation method of fractional option pricing formula.