| 固定汇率制度下的双币种交换期权 |
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| 引用本文： | 郭建果.固定汇率制度下的双币种交换期权[J].经济数学,2010,27(1):21-25. |
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| 作者姓名： | 郭建果 |
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| 作者单位： | 中国建设银行厦门分行,福建厦门,361001 |
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| 基金项目： | 湖南省科技厅计划项目 |
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| 摘 要： | 在固定汇率制度模型的基础上，利用计价单位变化以及风险中性概率测度，得到固定汇率制度下的双币种交换期权价格的闭式解．
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| 关 键 词： | 固定汇率制度 Ito公式 计价单位 交换期权 |
The Pricing of Quanto Exchange Options under the Fixed Exchange Rate System |
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| GUO Jian-guo.The Pricing of Quanto Exchange Options under the Fixed Exchange Rate System[J].Mathematics in Economics,2010,27(1):21-25. |
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| Authors: | GUO Jian-guo |
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| Institution: | GUO Jian-guo (China Construction Bank Xiamen Branch ,Xianmen,Fujian 361001,China) |
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| Abstract: | Under the fixed exchange rate system, and using the numeraire and the equivalent martingale measure, the closed form solutions of quanto exchange options were obtained. |
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| Keywords: | the fixed exchange rate system Ito formula the numeraire exchange options |
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