| 跳跃扩散型汇率过程的外汇期权定价 |
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| 引用本文： | 邓国和.跳跃扩散型汇率过程的外汇期权定价[J].经济数学,2003,20(1):13-18. |
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| 作者姓名： | 邓国和 |
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| 作者单位： | 广西师范大学数学与计算机科学学院,广西,桂林,541004 |
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| 基金项目： | 广西师范大学青年骨干教师科研基金资助 |
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| 摘 要： | 在完全外汇市场环境下 ,讨论了外汇汇率过程受 Brown运动和 Poisson过程共同驱动时外汇欧式未定权益的定价问题 ,并在常系数情形下获得了欧式外汇期权 Black- Scholes定价公式及其套期保值策略 ,最后给出了一种多汇率过程的线性组合式未定权益的定价
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| 关 键 词： | 欧式未定权益 外汇 期权 套期保值 |
| 修稿时间： | 2002年11月18 |
THE PRICING OF OPTIONS ABOUT FOREIGN EXCHANGE WHOSE RATES ARE DRIVED BY JUMP-DIFFUSION PROCESSES |
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| Deng guo,he.THE PRICING OF OPTIONS ABOUT FOREIGN EXCHANGE WHOSE RATES ARE DRIVED BY JUMP-DIFFUSION PROCESSES[J].Mathematics in Economics,2003,20(1):13-18. |
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| Authors: | Deng guo he |
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| Abstract: | In the complete foreign exchange markets, the pricing of European Contingent Claims about Foreing Exchange whose exchange rates are drived by Brown motions and Poisson process is discussed, in the meantime, under the conditions where the model coefficients are all constant, the Black Scholes formulas and hedging strategy for European option about Foreign Exchange are obtained. Finally, we give a price of linear combinational contingent claims about several exchange rates. |
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| Keywords: | European contingent claims foreign exchange option hedge |
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