标题:
多维分数布朗运动环境下再装期权定价公式Pricing of Reload Option on Stock Driven by Multidimensional Fractional Brown Motions
作者:
赵佃立
关键字:
多维分数布朗运动, 再装期权, 红利Reload Option; Multidimensional Fractional Brown Motion; Neutral-Risk Method
期刊名称:
《Finance》, Vol.1 No.1, 2011-05-03
摘要:
本文研究了股价过程服从多维分数几何布朗运动时的再装期权定价问题，通过风险中性定价方法分别给出了无风险利率与红利率为常数和非随机函数情况下再装期权的定价公式，并利用正态函数的联合分布给出精确表达式。
Price of the reload option on stock driven by multidimensional fractional brown motions was investigated in the paper; two pricing formulas were presented by using neutral-risk method.