【摘要】 文章首先对分数布朗运动和几何分数布朗运动作了简要的介绍,然后利用几何分数布朗运动模型来描述金融价格的变动;在标的资产服从几何分数布朗运动模型的假设下,利用标的资产有红利支付的欧式未定权益的一般定价公式,求出了2种新型权证的定价公式。更多还原

【Abstract】 In this paper Fractional Brownian Motion and Geometric Fractional Brownian Motion are briefly introduced at first.Then Geometric Fractional Brownian Motion model is employed to describe the changes of the prices of financial instrument.Under the hypothesis of underlying asset price submitted to Geometric Fractional Brownian Motion,the pricing formulas of two kinds of exotic options are obtained by means of the generalized pricing formula of European contingent claim.更多还原