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假设标的资产由混合分数布朗运动驱动,利用分数It6公式得到了混合分数布朗运动环境下永久美式期权的Black-Scholes偏微分方程,并通过偏微分方程获得永久美式期权的定价公式.
Assuming that the underlying asset is driven by the mixed fractional Brownian motion, the Black-Scholes partial differential equation of the permanent American option under the mixed fraction Brownian motion is obtained by using the fractional It6 formula and the pricing formula of the permanent American option is obtained by the partial differential equation.