| 数字示波器中波形参数自动测量算法研究 |
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| 引用本文： | 李启丙.数字示波器中波形参数自动测量算法研究[J].湖南农业大学学报(自然科学版),2011,38(3):87-89. |
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| 作者姓名： | 李启丙 |
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| 作者单位： | (1.广西工学院鹿山学院 基础教学部，广西 柳州 545616；2.广西师范大学 数学科学学院，广西 桂林 541004) |
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| 摘 要： | 假定标的股票服从分数布朗运动,应用二次近似法和偏微分方程方法求出了美式下降敲出看涨、看跌障碍期权价格近似解以及最佳实施边界. 最后,通过显式差分法比较近似解的准确性,并分析Hurst参数对期权价格和最佳实施边界 S* 的影响.
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| 关 键 词： | 分数布朗运动 美式障碍期权 二次近似法 |
The Research on Waveform Parameter Automatic Measurement Algorithm of Digital Oscilloscope |
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| YANG Xing,CHEN Yi-yun,ZHU Tao.The Research on Waveform Parameter Automatic Measurement Algorithm of Digital Oscilloscope[J].Journal of Hunan Agricultural University,2011,38(3):87-89. |
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| Authors: | YANG Xing CHEN Yi-yun ZHU Tao |
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| Institution: | (Sichuan Institute of Architectural Techndogy,Deyang618000,China) |
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| Abstract: | The pricing problem of an American Barrier option was considered in a fractional Black -Scholes model under the assumption that the underlying asset price satisfies a geometric fractional Brownian motion. The approximate solution of this option was obtained by using the quadratic approximation method and partial differential equation,and some examples were provided. Finally, the numerical examples using the finite difference method were provided to verify the conclusions. |
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| Keywords: | fractional Brownian motion American barrier options quadratic approximation method |
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