| 两种汇率制度的双币种期权定价模型及其解 |
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| 引用本文： | 李亚琼,黄立宏.两种汇率制度的双币种期权定价模型及其解[J].经济数学,2009(4). |
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| 作者姓名： | 李亚琼 黄立宏 |
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| 作者单位： | 湖南大学数学与计量经济学院 |
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| 基金项目： | 湖南省科技厅计划资助项目(2009ZK3110) |
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| 摘 要： | 采用人民币对美元的汇率数据、利用计量经济学方法得到:固定汇率并不意味着完全没有变化,它是时间的函数.在实证研究的基础上,提出了固定汇率制度和浮动汇率制度下的双币种期权定价模型,并得到该问题的闭式解.
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| 关 键 词： | 固定汇率制度 浮动汇率制度:双币种期权 无套利原理 |
MODELS AND SOLUTIONS OF TWO DUAL-CURRENCY PRICING OPTIONS UNDER TWO EXCHANGE RATE SYSTEM |
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| LI Ya-qiong; HUANG Li-hong.MODELS AND SOLUTIONS OF TWO DUAL-CURRENCY PRICING OPTIONS UNDER TWO EXCHANGE RATE SYSTEM[J].Mathematics in Economics,2009(4). |
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| Authors: | LI Ya-qiong; HUANG Li-hong |
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| Institution: | LI Ya-qiong; HUANG Li-hong(College of Mathematics and Econometrics; Hunan University; Changsha; Hunan 410082; China); |
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| Abstract: | Using the data of Yuan per US Dollar and econometric methods,we prove that a fixed exchange rate is a function of time.Then we proposed a dual-currency option pricing model under a fixed exchange rate system and a floating exchange rate system,and obtained the closed-form solution of the problem. |
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| Keywords: | fixed exchange rate system floating exchange rate system quanto options no arbitrage principle |
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