在股票价格遵循带跳混合分数布朗运动过程假设下,得到了利差期权所满足的一般偏微分方程,并依据此偏微分方程获得了利差期权和标准欧式期权定价公式.推广了关于Black-Scholes期权定价的结论.

Under the hypothesis that stock price obeys the fractional Brownian motion with jump, the general partial differential equation for outer performance option is presented, and, by this partial differential equation, pricing formula of the outer performance option and European option is obtained. So the result of Black-Scholes option pricing is generalized.