| Fractal CEV Model and Monte Carlo Simulation |
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| 引用本文： | CHE Ren,HE Chuan-jiang,YAO Mei. Fractal CEV Model and Monte Carlo Simulation[J]. 保鲜与加工, 2007, 0(11): 148-151 |
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| 作者姓名： | CHE Ren HE Chuan-jiang YAO Mei |
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| 摘 要： | By using fractional Brownian motion to replace geometric Brownian motion, the efficient market hypothesis is generalized hypothesis. provided to as fractal market hypothesis. A fractal CEV model is proposed, which is based on the fractal market Meanwhile, the optional pricing formula obeying the fractal CEV model is derived. Monte Carlo simulation is overcome the difficulty to get analytical solutions of the optional pricing equation.
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| 修稿时间： | 2007-06-17 |
Fractal CEV Model and Monte Carlo Simulation |
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| CHE Ren,HE Chuan-jiang,YAO Mei. Fractal CEV Model and Monte Carlo Simulation[J]. Storage & Process, 2007, 0(11): 148-151 |
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| Authors: | CHE Ren HE Chuan-jiang YAO Mei |
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| Abstract: | By using fractional Brownian motion to replace geometric Brownian motion, the efficient market hypothesis is generalized hypothesis. provided to as fractal market hypothesis. A fractal CEV model is proposed, which is based on the fractal market Meanwhile, the optional pricing formula obeying the fractal CEV model is derived. Monte Carlo simulation is overcome the difficulty to get analytical solutions of the optional pricing equation. |
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