位置：成果数据库 > 期刊 > 期刊详情页
由分数布朗运动驱动的时滞期权定价模型
  • ISSN号：1001-7011
  • 期刊名称：黑龙江大学自然科学学报
  • 时间：2014
  • 页码：701-709
  • 分类：O211.9[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]东华大学旭日工商管理学院,上海200051, [2]上海兴业全球基金管理有限公司专户投资部,上海200122, [3]东华大学理学院,上海200051
  • 相关基金：国家自然科学基金资助项目（11171062）;上海市教育委员会科研创新项目资助（12ZZ063）;东华大学博士创新基金资助项目（CUSF-DH-D-2013038）
  • 相关项目：G-分数布朗运动与Hermite过程的分析及其相关问题
作者： 张庆华（研究生）|薛大威（研究生）|闫理坦|
关键词： 随机时滞方程, 分数布朗运动, 分数Ito积分, 期权定价, B-S公式, delay stochastic differential equation with jump, fractional Brownian motion, fractional It6 integral, option pricing, Black-Scholes formula
中文摘要：

股票市场收益序列存在某种长程相依性,利用分数布朗运动来研究这一问题已经取得了一定的成果。本研究将拓展这一类模型,在模型中综合考虑时滞以描述股票市场中的短期趋势效应。在对分数布朗运动的Hurst指数做出一定限制的条件之下,证明这类市场模型是有意义的,也即可以被用于刻画股票价格的变化,进而可以被用于欧式期权定价。

英文摘要：

Stock market returns presents a quality of long memory＇ property. Scholars have come to some good results from studying fractional Brownian motion. The kind of models is extended, and stock market is illustrated by delay stochastic differential equation. The established model is proven to be meaningful, and can be used in European option pricing under some constraint on Hurst index.

同期刊论文项目
　通断时间面积法供热计量系统
期刊论文 9
G-分数布朗运动与Hermite过程的分析及其相关问题
期刊论文 87
同项目期刊论文
On a jump-type stochastic fractional partial differential equation with fractional noises
A Weighted-fractional model to European option pricing
On solutions of neutral stochastic delay Volterra equations with singular kernels
Hilbert Transform of G-Brownian local times
Weak approximation of the fractional Brownian sheet from random walks
Hermite过程的一个逼近定理
Successive approximation of SFDEs with finite delay driven by G-Brownian motion
Existence results for impulsive neutral second-order stochastic evolution equations with nonlocal co
The S-Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs
Berry-Ess,en bounds and almost sure CLT for quadratic variation of weighted fractional Brownian moti
The generalized Bouleau-Yor identity for a sub-fractional Brownian motion
Representation Theorem for Generators of BSDEs Driven by -Brownian Motion and Its Applications
The Bouleau-Yor identity for a bi-fractional Brownianmotion
Estimators for the drift of sub-fractional Brownian motion
Asymptotic behavior for neutral stochastic partial differentialequations with infinite delays
Asymptotic behavior for bi-fractional regression models via Malliavin calculus
On solutions of neutral stochastic delay Volterra equations withsingular kernels
Controllability of Fractional Neutral Stochastic Integro-DifferentialSystems with Infinite Delay
Central limit theorem for weighted local time of L2 modulus offractional Brownian motion
Representation Theorem for Generators of BSDEs Driven by G-BrownianMotion and Its Applications
Approximation of the Rosenblatt process by semimartingales
Asymptotic behavior for neutral stochastic partial differential equations with infinite delays
Controllability of Fractional Neutral Stochastic Integro-Differential Systems with Infinite Delay
The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
The Bouleau-Yor identity for a bi-fractional Brownian motion
The generalized quadratic covariation for fBm with Hurst index less than 1/2
Hilbert transform of G-Brownian local time
Some path properties of weighted-fractional Brownian motion
Weak convergence to the fractional Brownian sheet using martingale differences
Mixed-fractional Models to Credit Risk Pricing
Estimators for the Drift of Subfractional Brownian Motion
Integral with respect to the G-Brownian local times
Solving a nonlinear fractional Stochastic Partial Differential Equation with fractional noise
On a jump-type stochastic fractional partial differential equation with fractionalnoises
p-variation of an integral functional associated with bi-fractional Brownianmotion
Smoothness for the Collision Local Time of Two MultidimensionalBifractional Brownian Motions
Stochastic Volterra Equation Driven by Wiener Process and FractionalBrownian Motion
On Almost Automorphic Mild Solutions for Nonautonomous StochasticEvolution Equations
A Note on the Exponential G-Martingale
A new criterion on existence and uniqueness of stationary distributionfor diffusion processes
α-赋权分数桥的最小二乘估计
一类带跳的时滞Black-Scholes模型
G-期望下重积分的极大值不等式
Existence and Stability for Stochastic Partial Differential Equations with Infinite Delay
Asymptotic behavior for bi-fractional regression models via Malliavincalculus
A Weak Convergence to Rosenblatt Process
An Approximation of Subfractional Brownian Motion
Weak convergence to the fractional Brownian sheet using martingaledifferences
The fractional derivative for fractional Brownian local time with Hurst index large than 1/2
Approximating the Rosenblatt process by multiple Wiener integrals
Derivative for self-intersection local time of multidimensional fractional Brownian motion
Central limit theorem for weighted local time of L2 modulus of fractional Brownian motion
On Almost Automorphic Mild Solutions for Nonautonomous Stochastic Evolution Equations
An approximation to the Rosenblatt process using martingale differences
Successive approximation of neutral stochastic evolution equations withinfinite delay and Poisson ju
Smoothness for the collision local time of two multidimensional bifractional Brownian motions
一个混合模型的几点注记
混合双分数布朗运动驱动的信用风险模型
线性测量误差模型中复合分位数估计的随机加权方法
垂直沉积法组装二元聚苯乙烯胶粒晶体
一类带跳的时滞Black-Scholes模型
基于量变质变论的城市水系结构变异分析
微量液滴分配机理与技术研究进展
圆管式压电喷头的液体分配
农村供水工程课程教学改革探讨
滨海盐土土壤水分的高光谱参数及估测模型
不同生物联合净化富营养化水体的效果
期刊信息
  • 《黑龙江大学自然科学学报》
  • 北大核心期刊（2011版）
  • 主管单位:黑龙江省教育厅
  • 主办单位:黑龙江大学
  • 主编：霍丽华
  • 地址：哈尔滨市学府路74号
  • 邮编：150080
  • 邮箱：hdxb@vip.sohu.com
  • 电话：0451-86608818
  • 国际标准刊号：ISSN：1001-7011
  • 国内统一刊号：ISSN：23-1181/N
  • 邮发代号:14-114
  • 获奖情况:
  • 国内外数据库收录:
  • 美国化学文摘（网络版）,美国数学评论（网络版）,德国数学文摘,日本日本科学技术振兴机构数据库,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）
  • 被引量:4204