| 基于外汇汇率的期权定价及其实证分析 |
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| 引用本文： | 李文汉,钟盈,吕桂稳.基于外汇汇率的期权定价及其实证分析[J].运筹与管理,2022,31(8):185-188. |
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| 作者姓名： | 李文汉 钟盈 吕桂稳 |
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| 作者单位： | 1.河北地质大学 数理教学部,河北 石家庄 050031;2.石家庄铁道大学 数理系,河北 石家庄 050043 |
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| 基金项目： | 河北省高等学校科学技术研究项目(ZD2019047);河北省社科基金项目(HB19YJ055) |
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| 摘 要： | 在外汇汇率服从连续扩散过程模型下,研究了外汇汇率的几何平均亚式期权和附有汇率范围的示性函数的新型幂期权定价问题。在实证分析中,通过美元/人民币汇率的真实数据来计算以上所研究期权的价格,并和Black-Scholes模型下的期权定价进行比较,同时对相关期权的隐含波动率进行了分析。
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| 关 键 词： | 汇率 几何平均亚式期权 幂期权 实证分析 |
| 收稿时间： | 2020-06-17 |
Option Pricing Based on the Foreign Exchange Rate and EmpiricalAnalysis |
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| LI Wen-han,ZHONG Ying,LV Gui-wen.Option Pricing Based on the Foreign Exchange Rate and EmpiricalAnalysis[J].Operations Research and Management Science,2022,31(8):185-188. |
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| Authors: | LI Wen-han ZHONG Ying LV Gui-wen |
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| Institution: | 1. School of Mathematics and Physics, Hebei GEO University, Shijiazhuang 050031, China;2. Department of Mathematics and Physics, Shijiazhuang Tiedao University, Shijiazhuang 050043, China |
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| Abstract: | When the foreign exchange rate is assumed to follow a continuous-diffusion process, we study the pricing of the geometric average Asian option and a new type of power option with an indicator function of the foreign exchange rate. In the empirical analysis, we utilize the actual market data of the foreign exchange rate of USD/CNY to obtain the values of the above options as well as Black-Scholes model. At the same time, the implied volatility of the related option is analyzed. |
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| Keywords: | foreign exchange rate geometric average Asian option power option empirical analysis |
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