经济数学
經濟數學
경제수학
MATHEMATICS IN ECONOMICS
2010年
1期
67-72
,共6页
公平保费%汇率连动期权%期权定价%伊藤公式%Girsanov公式
公平保費%彙率連動期權%期權定價%伊籐公式%Girsanov公式
공평보비%회솔련동기권%기권정개%이등공식%Girsanov공식
fair premium%quanto options option Pricing%Ito Formula%Girsanov Formula
假设汇率变化过程服从带跳的几何布朗运动,股票价格遵循带跳的O-U过程,建立汇率连动期权市场模型,利用保险精算方法和Girsanov公式,给出了汇率连动期权的定价公式,获得了欧式看涨和看跌期权定价公式及平价公式.
假設彙率變化過程服從帶跳的幾何佈朗運動,股票價格遵循帶跳的O-U過程,建立彙率連動期權市場模型,利用保險精算方法和Girsanov公式,給齣瞭彙率連動期權的定價公式,穫得瞭歐式看漲和看跌期權定價公式及平價公式.
가설회솔변화과정복종대도적궤하포랑운동,고표개격준순대도적O-U과정,건립회솔련동기권시장모형,이용보험정산방법화Girsanov공식,급출료회솔련동기권적정개공식,획득료구식간창화간질기권정개공식급평개공식.
Assuming that foreign exchange rate is followed by Geometry Brownian Motion with jumps, and the price of stock is followed by Ornstein-Uhlenback process, the model of Quanto option was obtained. Using an actuarial approach and Girsanov formula to deal with the pricing formula of European option on Quanto option,the pricing of European call and put option and put-call parity was obtained.
