Weighted Local Time for Fractional Brownian Motion and Applications to Finance
Weighted Local Time for Fractional Brownian Motion and Applications to Finance
复制标题
DOI：
10.1081/sap-200044412
复制
发表时间：
2005-01
影响因子：
1.3
通讯作者：
Yaozhong Hu;B. Øksendal;Donna Salopek
中科院分区：
文献类型：
--
作者：
Yaozhong Hu;B. Øksendal;Donna Salopek
摘要对分数布朗运动和几何分数布朗运动导出了一个包含加权局部时的Meyer-Tanaka公式。将该公式应用于分数Black-Scholes市场中的止损-启动-收益（SLSG）投资组合的研究。因此，我们得到了一个分数版本的欧洲呼吁的Carr-Jarrow分解，并把期权价格的内在价值和时间价值。
Abstract A Meyer-Tanaka formula involving weighted local time is derived for fractional Brownian motion and geometric fractional Brownian motion. The formula is applied to the study of the stop-loss-start-gain (SLSG) portfolio in a fractional Black-Scholes market. As a consequence, we obtain a fractional version of the Carr-Jarrow decomposition of the European call and put option prices into their intrinsic and time values.