標(biāo)的資產(chǎn)服從分?jǐn)?shù)Brown運(yùn)動的歐式期權(quán)定價.pdf

1、華中科技大學(xué)碩士學(xué)位論文標(biāo)的資產(chǎn)服從分?jǐn)?shù)Brown運(yùn)動的歐式期權(quán)定價姓名：祁改珂申請學(xué)位級別：碩士專業(yè)：運(yùn)籌學(xué)與控制論指導(dǎo)教師：梅正陽20090520華中科技大學(xué)碩士學(xué)位論文華中科技大學(xué)碩士學(xué)位論文IIAbstractInthestudyingofoptionpricingproblemsstudyingtheoptionpricingthatthestockpricefluctuationfollowsafractionalBrown

2、ianmotionismerealisticmesuitabletosolvethefinancialissuesintherealcapitalmarketthanstudyingtheoptionpricingthatthestockpricefluctuationfollowsastardBrownianmotion.Thispaperstudiesoptionpricingwithassumptionsthatthestockp

3、ricefluctuationfollowsafractionalBrownianmotionthecapitalmarkethasfractalacteristics.Ithasgreatsignificanceintheypractice.InthefirstpartofthispaperwereviewthedevelopmentofOptionPricingTheyintroducethewkthattheresearchers

4、didthenintroducethefractionalBrownianmotiontheoptionpricingtherelationshipbetweenthem.InparttwoweobtainthecontrolequationofoptionpricingthatinthecaseofthesinglefractionalBrownianmotionwhen11()32H∈，thatinthecaseofthemixed

5、fractionalBrownianmotionunderthefractionalBrownianmotionthenweobtainthecontrolequationofoptionpricingunderthefractionalOUprocessaswellasthefractionalCIRmodelbyusingthesameapproximation.FthesinglefractionalBrownianmotionw

6、eanalyzetheoptionpricingwhen11()32H∈，fthemixedfractionalBrownianmotionweanalyzetheoptionpricingwhen111()32H∈，211()2H∈121HH.WegivethesolutionofEuropeanoptionsunderthesinglefractionalBrownianmotionthemixedfractionalBrownia

7、nmotion.FthecontrolequationofoptionpricingunderthefractionalOUprocessthefractionalCIRmodelweanalyzediscussthesolutionsofthem.KeyWds:SemimartingaleprocessfractionalBrownianmotionEuropeanoptionfractionalOUprocessfractional