国内外利率为随机的双币种重置型期权定价

双币种重置期权的特征是指在终端期T时的收益依赖于预先设定的t<,0>时刻标的资产的价格与执行价K>0(事先给定)的大小关系重新设置期权的执行价从而给出其定价,这种期权是投资于外国资产的一种合约,其风险不仅依赖外国资产价格的变化,还受外国货币的汇率以及国内外两种利率波动的影响,所以在实际应用方面十分广泛.本文首先就标的资...

Pricing Quanto Reset Options with Stochastic Domestic and Foreign Interest Rates

The reset feature in a quanto option refers to the payoff structure where the terminal payoff of the quanto option depends on resetting the strike price of either the foreign stock price or the exchange rate at a predetermined time t0∈.The option is a contract which invests to foreign assets and its payoff depends on not only the price of foreign asset,but also the affect of exchange rate and domestic and foreign interest rates.In this paper,we first establish the financial market model and define pricing formulas on quanto reset option of European call option in case of either foreign stock or exchange rates.Second,we derive the analytic price formulas for two types of above with stochastic domestic and foreign interest rates by using martingale method and multivariate jointly normal distribution functions.Finally,we analyze the pricing behaviours with numerical example.