分数布朗运动下红利亚式期权定价-概率论与数理统计专业论文.docx

武汉科技大学 硕士学位论文 第 I 页 摘 要 期权定价理论历来都是现代金融学的核心研究内容之一，传统的期权定价的方法都是 基于经典的 Black-Scholes 期权公式，而此公式的假设条件是标的资产价格变化服从由标准 布朗运动驱动的随机微分方程． 但是近些年，通过大量研究发现，金融市场中标的资产价格或多或少都有某些依赖性 和相关性．也就是说，以前假设股票价格变化服从标准布朗运动的假设条件过于理想化， 得到的结果和实际金融活动有很大的偏差．若用分数布朗运动驱动的随机微分方程来描述 标的资产价格，更符合实际金融市场． 很多学者利用分数布朗运动随机分析理论研究了期权的定价．本文正是基于分数布朗 运动这一理论，研究了带红利的亚式期权的定价问题，结合拟-条件期望及拟-鞅等相关理 论，得到了几何平均亚式期权的定价公式．对分数布朗运动环境下的期权定价模型进行了 推广． 最后，考虑到几何平均亚式期权的定价公式稍显复杂，而且算术平均亚式期权由于其 未定权益具有轨道依赖特性，没有得到它的解析的定价公式，所以给出了分数布朗运动环 境下带红利的亚式期权定价的一种简单数值模拟方法． 关键词：分数布朗运动；拟-条件期望；拟-鞅；亚式期权；红利． 武汉科技大学 硕士学位论文 第 II 页 Abstract Option pricing theory is always one of the core research contents of finance. The traditional study of option pricing methods are based on the classical Black-Scholes options formula， and one of the assumptions of this formula is that stock price changes obey stochastic differential equation driven by standard Brownian motion. But in recent years，many scholars have found that the financial market bid asset prices have certain dependence or correlation in short-term or long-term， that is to say， previously hypothesis is too idealistic that the share prices obey standard Brownian motion conditions. The obtained results have very big deviation in actual financial activities. A more reasonable way is to use stochastic differential equation driven by fractional Brownian motion to describe the stock price, which is more actual in financial markets. Many scholars use fractional Brownian motion stochastic analysis theory studied option pricing. This paper using fractional Brownian motion new theory， discussed the Asian option pricing. Combining fitting - conditional expectation and fitting - martingale related theory， got geometry average Asian option pricing formula， generalized the option pricing model under the environment of fractional Brownian motion. Finally，considering the geometry average Asian option pricing formula is slightly complex， and ari