刘顺;王欣怡;郭志东;

• 1:安庆师范大学数理学院

摘要(Abstract)：

建立了次分数布朗运动下的两资产几何亚式彩虹期权定价模型，运用偏微分方程的方法，得到了两资产几何亚式彩虹期权定价公式，并给出了相关的数值计算。结果表明，在相同参数下，两资产几何亚式彩虹期权在次分数机制下的价格低于其在几何布朗运动机制下的价格。

关键词(KeyWords)： 期权定价;次分数布朗运动;两资产几何亚式彩虹期权;数值计算

Abstract:

Keywords:

基金项目(Foundation): 安徽省自然科学青年基金项目(1908085QA29)

作者(Authors): 刘顺;王欣怡;郭志东;

DOI: 10.15916/j.issn1674-3261.2022.05.011

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