Option pricing for the mixed fractional Brownian motion with stochastic interest rates

机译：随机利率混合分数布朗运动的选项定价

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摘要

An alternative option pricing model is proposed, in which the stock price follows a stochastic differential equation driven by the mixed fractional Brownian motion with stochastic interest rate. The stochastic interest rate is driven by the Vasicek model. By using the partial differential equation method, we obtain a general pricing formula of the European call and put option, which makes the fractional Brownian motion as an especial case.

机译：提出了一种替代选择定价模型，其中股票价格遵循由混合的分数布朗运动驱动的随机微分方程，随机率利率。随机利率由VASICEK模型驱动。通过使用部分微分方程方法，我们获得了欧洲呼叫的一般定价公式，并将其选择，这使得分数褐色运动作为特殊情况。

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来源
《International Conference on Management Innovation and Information Technology》|2014年||共9页
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作者
Feng Xu;
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原文格式 PDF
正文语种
中图分类 G20-53;
关键词
Mixed fractional Brownian motion; Vasicek model; Option pricing;

机译：混合分数布朗运动;vasicek模型;期权定价;

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3. Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion [J] . Yuliya S. Mishura, Georgiy M. Shevchenko Random operators and stochastic equations . 2011,第4期

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4. Option pricing for the mixed fractional Brownian motion with stochastic interest rates [C] . Feng Xu International Conference on Management Innovation and Information Technology . 2014

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5. Estimation of the Hurst Exponent in Fractional Brownian Motion Driven Volatility Using High Frequency Data and Option Prices [D] . Nirhale, Nikhil. 2018

机译：利用高频数据和选项价格估算分数褐色运动驱动波动率的赫斯特指数
6. Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion [O] . Jiao-Jiao Sun, Shengwu Zhou, Yan Zhang, 2014

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7. Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models [O] . Kaili Xiang, Yindong Zhang, Xiaotong Mao 2014

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Option pricing for the mixed fractional Brownian motion with stochastic interest rates

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