| 随机利率下的外汇欧式期权定价 |
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| 引用本文： | 吴永红,李琼,金勇.随机利率下的外汇欧式期权定价[J].武汉理工大学学报(交通科学与工程版),2011,35(5). |
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| 作者姓名： | 吴永红 李琼 金勇 |
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| 作者单位： | 武汉理工大学理学院 武汉430062 |
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| 基金项目： | 中央高校基本科研业务费专项资金资助(批准号:2010-1a-036,2011-1a-019) |
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| 摘 要： | 在随机利率情况下,利用鞅方法研究了外汇欧式期权的定价问题,得到了欧式期权(看涨和看跌)价格的解析表达式,及其评价关系.文中考虑了期权的对冲问题及本国和外国利率波动的非零相关性,本国和外国利率波动对汇率波动的影响.
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| 关 键 词： | 随机利率 期权定价 外汇 债券 鞅 |
European Option Pricing on Foreign Exchanges Under Stochastic Interest Rates |
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| Wu Yonghong,Li Qiong,Jin Yong.European Option Pricing on Foreign Exchanges Under Stochastic Interest Rates[J].journal of wuhan university of technology(transportation science&engineering),2011,35(5). |
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| Authors: | Wu Yonghong Li Qiong Jin Yong |
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| Institution: | Wu Yonghong Li Qiong Jin Yong (School of Sciences,WUT,Wuhan 430063,China) |
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| Abstract: | Option pricing problems were discussed on European exchange under the case of stochastic interest rate,by using martingale methods.It obtains European option price analytical expression(call and put).Moreover,their evaluation relationship,and off setting was considered.Domestic and foreign interest rate movements were considered for exchange rate fluctuations impact and non-zero correlation between domestic and foreign interest rate volatility. |
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| Keywords: | stochastic interest rate option pricing exchange bond martingale |
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