Pricing of Option on Dividend-paying Stock in a Fractional Brownian Motion Environment by Martingale Analysis
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Pricing of Option on Dividend-paying Stock in a Fractional Brownian Motion Environment by Martingale Analysis
Vol. 15, Issue 2, Pages: 92-94(2010)
作者机构:
哈尔滨理工大学应用科学学院
作者简介:
基金信息:
DOI:
CLC:O211.6
Published:2010
稿件说明:
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YU Yan-na, KONG Fan-liang. Pricing of Option on Dividend-paying Stock in a Fractional Brownian Motion Environment by Martingale Analysis[J]. 2010, 15(2): 92-94.
DOI:
YU Yan-na, KONG Fan-liang. Pricing of Option on Dividend-paying Stock in a Fractional Brownian Motion Environment by Martingale Analysis[J]. 2010, 15(2): 92-94.DOI:
Pricing of Option on Dividend-paying Stock in a Fractional Brownian Motion Environment by Martingale Analysis
摘要
本文在分数Brown运动环境下
利用基础资产价格逼近过程的鞅性
推导分析了具有红利支付时期期权定价方程.
Abstract
Under the fractional Brownian motion environment
this article uses the foundation asset price approaching the process in the property of Martingale.We derive and analyze the stage in having dividend-paying of the option fixed price equation.