| 分数布朗运动环境中混合期权的保险精算定价 |
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| 引用本文： | 廖芳芳,王剑君.分数布朗运动环境中混合期权的保险精算定价[J].湘南学院学报,2012(2):32-35. |
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| 作者姓名： | 廖芳芳 王剑君 |
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| 作者单位： | 湘南学院数学系;湖南工程学院理学院 |
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| 基金项目： | 湖南省教育厅科研项目(09C257) |
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| 摘 要： | 利用保险精算方法,在假设标的资产价格服从几何分数布朗运动的情况下,推导出了混合期权的定价公式,并且假设股票预期收益率、波动率和无风险利率均为时间的函数,推导了参数依赖于时间的混合期权的定价公式.
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| 关 键 词： | 分数布朗运动 混合期权 保险精算定价 |
An Actuarial Approach to Compound Option Pricing in Fractional Brownian Motion Environment |
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| Liao Fangfang,Wang Jianjun.An Actuarial Approach to Compound Option Pricing in Fractional Brownian Motion Environment[J].Journal of Xiangnan University,2012(2):32-35. |
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| Authors: | Liao Fangfang Wang Jianjun |
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| Institution: | 1.Dept of Mathematics,Xiangnan University,Chenzhou 423000,China;2.College of Science,Hunan Institute of Engineering,Xiangtan 411104,China) |
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| Abstract: | We obtain the accurate pricing formula of compound option in Fractional Brownian Motion environment by using an actuarial method under the hypothesis of underlying asset price submitting to Geometric Fractional Brownian Motion.And we obtain the pricing formula of compound options with time-dependent parameters under the assumptions that the expected rate,volatility and risk-less rate are functions of time. |
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| Keywords: | Fractional Brownian Motion compound option insurance actuary pricing |
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