| 外汇期权的多维跳-扩散模型 |
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| 引用本文： | 熊双平.外汇期权的多维跳-扩散模型[J].经济数学,2005,22(3):240-247. |
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| 作者姓名： | 熊双平 |
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| 作者单位： | 上海师范大学数理信息学院,上海,201418 |
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| 摘 要： | 本文建立了外汇期权的多维跳-扩散模型,在此模型下将外汇欧式未定权益的定价问题归结为一类倒向随机微分方程的求解问题,证明了这类倒向随机微分方程适应解的存在唯一性问题,并给出了一个关于外汇欧式未定权益的定价公式.
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| 关 键 词： | 投资组合策略 欧式未定权益 倒向随机微分方程 鞅 |
| 修稿时间： | 2004年5月1日 |
MULTI-DIMENSIONAL JUMP-DIFFUSION MODEL ON FOREIGN EXCHANGE OPTION |
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| Xiong Shuangping.MULTI-DIMENSIONAL JUMP-DIFFUSION MODEL ON FOREIGN EXCHANGE OPTION[J].Mathematics in Economics,2005,22(3):240-247. |
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| Authors: | Xiong Shuangping |
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| Abstract: | Multi-dimensional jump-diffusion model on foreign exchange option is established.Under this model,we reduce the pricing on foreign exchange option to solution problem of a backward stochastic differential epuation(BSDE).Moreover,the existence and uniqueness of the solution of this BSDE are proved.The pricing formula of European contingent claims on foreign exchange is also obtained. |
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| Keywords: | Portfolio European contingent claim backward stochastic differential equation martigale |
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