分数跳-扩散环境下欧式双向期权定价的Ornstein-Uhlenbeck模型

摘要

Under the hypothesis that stock price is driven by fractional Brownian motion and compound poisson process, the fractional jump-diffusion Ornstein-Uhlenback model is built. Using the insurance actuary method and the fair premium principle, european bi-direction option pricing formula is obtained.%假定标的资产价格服从由分数布朗运动和复合泊松过程共同驱动的随机微分方程,建立分数跳-扩散Ornstein-Uhlenbeck模型.利用公平保费原则和保险精算方法,得到了欧式双向期权的定价公式.