| 汇率连动欧式幂型期权鞅定价及避险 |
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| 引用本文： | 刘敬伟.汇率连动欧式幂型期权鞅定价及避险[J].数学的实践与认识,2010,40(14). |
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| 作者姓名： | 刘敬伟 |
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| 摘 要： | 研究了汇率连动选择权中执行价是本国货币的外国股票权证的欧式幂型期权的鞅定价问题,推导了其看涨、看跌定价公式,并求出了其相应的避险参数.
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| 关 键 词： | 汇率连动权证 欧式幂型期权 期权定价 鞅方法 避险 |
Quanto European Power-Function Options Pricing with Martingales Method and Hedging |
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| LIU Jing-wei.Quanto European Power-Function Options Pricing with Martingales Method and Hedging[J].Mathematics in Practice and Theory,2010,40(14). |
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| Authors: | LIU Jing-wei |
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| Abstract: | Quanto European power-function options pricing of foreign equity call struck in domestic currency with martingales method is investigated in this paper.The formula of call /put option price and hedging parameters are also derived. |
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| Keywords: | quanto option European power-function options option pricing martingales method hedging |
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