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| 次分数跳-扩散模型下重置期权的保险精算定价 |
| Insurance Actuary Pricing of Reset Option Under Sub‐fractional Jump Diffusion Model |
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| DOI：10.16018/j.cnki.cn32-1650/n.202204006 |
| 中文关键词: 重置期权 次分数布朗运动 跳-扩散过程 保险精算法 |
| 英文关键词: reset option fractional Brownian motion jump diffusion process insurance actuary method |
| 基金项目: |
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| 摘要点击次数: 36 |
| 全文下载次数: 45 |
| 中文摘要: |
| 假设股票价格满足次分数跳-扩散过程驱动的随机微分方程，利用次分数布朗运动和跳过程随机分析理论，以及保险精算法，得到股票价格遵循次分数跳-扩散过程下重置期权的定价公式，在此基础上推广了一些已有的结论。 |
| 英文摘要: |
| Assuming that the stock price satisfies the stochastic differential equation driven by sub fractional jump diffusion process, the pricing formula of reset option under the condition that the stock price follows the sub fractional jump diffusion process is obtained by using the sub fractional Brownian motion, the stochastic analysis theory of jump process, and the insurance actuarial method. On this basis, some existing conclusions are generalized. |
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