几类特殊Hurst指数下的期权定价-运筹学与控制论专业论文.docxVIP

华 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract With the gradual development of financial markets, many scholars have found that the financial market is not fully subject to the standard Brownian motion. In most cases it follow the biased random walk process. The efficient market hypothesis theory can not fully explain the financial market. In order to solve more financial problems, to make a more realistic theory, fractal mathematics theory was introduced to the financial field. The standard Brownian motion is being replaced by fractional Brownian motion gradually. The finance theory has been further developed. This article mainly divided into four parts. The first part gave the definition and nature of fractional Brownian motion. Since all of the financial processes should be based on the no-arbitrage assumption, we have taken semi-martingale process method which is based on original one to close the whole process. In the second part, first we proved that there is an equivalent martingale measure, under which martingale the fractional Brownian motion market is no arbitrage, and for H ∈ (1 n ,1 (n ?1)) , we also gave the similar provf. Following we studied fractional Brownian motion to close the financial market which Hurst index is belong to (1 4 ,1 3) and (1 n ,1 (n ?1)) ,and got the partial differential equations based on the fractional Brownian motion in the no-arbitrage market. The third part discussed the mixture of fractional Brownian motion, and studied the situation which H1 ∈ (1 4,1 3) , H2 ∈ (1 2,1) and H1 +H2 1 to get the partial differential equations.The forth chapter use R / S analysis to check Chinese stock market, and get the situation when Hurst index belong to the interval (1 4 ,1 3) , and illustrated it , and also proved the applicability of this thesis. Keywords: Fractional Brownian Motion Semi-martingale R / S analysis Hurst Index Option pricing 独创性声明 本人声明所呈交的学位论文是我个人在导师指导下进行的研究工作及取得的研 究成果。尽我所知，除文中已经标明引用的内容外，本论文不包含任何其他个人或 集体已经发表或撰写过的研究成果。对本文的