CAJ | 학술논문

应用风险偏好和均衡定价方法，考虑了标的资产服从分数布朗运动下的汇率期权定价问题．首先利用条件期望构建了条件过程的联合密度函数，然后，基于历史有限信息推导出分数欧式汇率期权的闭式解．为了理解定价模型，进一步分析了赫斯特指数对定价结果的影响．最后，给出了基于GBP／USD期权的实证研究．不同模型的结果说明了汇率市场具有分形特性．
응용풍험편호화균형정개방법，고필료표적자산복종분수포랑운동하적회솔기권정개문제．수선이용조건기망구건료조건과정적연합밀도함수，연후，기우역사유한신식추도출분수구식회솔기권적폐식해．위료리해정개모형，진일보분석료혁사특지수대정개결과적영향．최후，급출료기우GBP／USD기권적실증연구．불동모형적결과설명료회솔시장구유분형특성．
By applying risk preferences and equilibrium pricing approach, the problem of pricing currency options when the underlying asset follows a fractional Brownian process is considered in this paper. Firstly, the associated density of the conditional process is constructed using the conditional expectation. Then, an analytic solution for fractional European currency options is derived based on limited knowledge about the past. For the sake of understanding this pricing model, the influence of the Hurst parameter is also analyzed. Finally, an empirical study of GBP/USD option is presented. The pricing results of different models provide the evidence that the currency market has the fractal properties.