次分数布朗运动环境下可转换债券的定价

摘要

假定股票价格服从次分数布朗运动驱动的随机微分方程,建立次分数布朗运动环境下金融市场模型,并利用次分数布朗运动随机分析理论及保险精算方法,获得次分数布朗运动环境下可转化债券的定价公式.%Assume that stock price satisfy sub-fractional Brownian motion,the model for financial market in sub-fractional Brownian motion environment is established.Using the stochastic analysis theory of the sub-fractional Brownian motion and the actuarial approach,the pricing formula for convertible bond is obtained.