中文摘要：

研究了赋权分数布朗运动环境下的欧式交换期权定价问题。假设两种股票的价格过程都服从赋权分数布朗运动驱动的随机微分方程,利用保险精算的定价方法得到了交换期权的定价公式。

英文摘要：

The problem of pricing exchange options in weighted fractional Brownian motion environment was considered in the paper. Under the condition that the two stock pricing processes obey the stochastic differential equation driven by weighted fractional Brownian motion, the pricing formula of exchange op- tions was obtained via insurance actuary pricing.