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摘 要 z融数学的核心问题之一．Black和Scholes在1973年提出Black-Scholes期权定价模型，此模型的基本假设格遵循随机微分方其中常数，是标准布朗运动．在此假定条件之下，Black和Scholes得到期权Black-Scholes期权公式．近几年来一些学者研究发现金融市场中价格短期或长期具有一定的依赖性或相关性为合理假定价格遵循随机微分方程其中为分数运动，是Hurst参数当时分数布朗运动即为标准布朗运动．实证研究发现价格的Hurst参数(1) 介绍了分数布朗运动概念、关于分数布朗运动的随机积分及有关性质、等价测度变换、投资组合构造. (2) 首先给出在分数布朗运动环境下金融市场的描述以及分数型风险中性定价定理，其次研究了分数布朗运动环境下信用担保期权定价问题. (3) 讨论在分数布朗运动环境下具有随机寿命的两值期权定价问题． (4) 讨论在分数布朗运动环境下具有幂型支付的重置期权定价问题. 关键词 ABSTRACT Option pricing theory is one of core problems in financial mathematics. Black and Scholes brought out Black-Scholes option pricing model in 1973. In the model one of the basic hypothesis is that the underlying assets’ price process obey stochastic differential equation , where are constants, is the standard Brownian motion. Under this hypothesis, Black and Scholes obtained analytical expression for price of European option, namely the celebrated Black-Scholes option pricing formula. In recent years, study of some scientists indicates that underlying assets’ price has dependency or pertinence at short term or long term in some degree. Therefore it’s reasonable to suppose underlying assets’ price process satisfy stochastic differential equation, where is the fractional Brownian motion, is Hurst parameter. Specially, when, the fractional Brownian motion becomes the standard Brownian motion. At the same time, the empirical research discovers that Hurst parameter H isn’t equal to 1/2 for underlying asset’s price. In this paper, we discuss option pricing problem when underlying assets’ price process is driven by the fractional Brownian motion. The main work be summarized as follows: (1) we introduce the concept of the fractional Brownian motion, and stochastic integral and property and equivalent measure transform and portfolio. (2) we describe the financial market and fractional risk-neutral pricing theorem in the fractional Brownion motion environment, and study credit guarantee options. (3) we invastigate the two value options pricing with stochasti