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假设股票价格变化过程服从几何分数布朗运动,建立了分数布朗运动下的亚式期权定价模型.利用分数-It-公式,推导出分数布朗运动下亚式期权的价值所满足的含有三个变量偏微分方程.然后,引进适当的组合变量,将其定解问题转化为一个与路径无关的一维微分方程问题.进一步通过随机偏微分方程方法求解出分数布朗运动下亚式期权的定价公式.最后利用权证定价原理对稀释效用做出调整后,得到分数布朗运动下亚式股本权证定价公式.请下载后查看，本文暂不支持在线获取查看简介。
Assuming that the stock price changes obeys the geometric fractional Brownian motion, the Asian option pricing model under the fractional Brownian motion is established. Using the fractional-It-formula, the three variables Partial differential equation.Secondly, by introducing the appropriate combination of variables, the problem of fixed solution is transformed into a one-dimensional differential equation that has nothing to do with the path.Furthermore, the pricing formula of Asian option under fractional Brownian motion is solved by stochastic partial differential equation method. Finally, the use of warrants pricing principles to adjust the dilution effect, get fractional Brown sub-style warrants under the pricing formula. Please download to view, this article is not supported online view profile.