| 跳跃过程下的汇率连动期权的定价 |
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| 引用本文： | 张元庆,闻德美,刘美娟.跳跃过程下的汇率连动期权的定价[J].经济数学,2010,27(1):67-72. |
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| 作者姓名： | 张元庆 闻德美 刘美娟 |
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| 作者单位： | 1. 山东科技大学理学院,山东,青岛,266510
2. 山东科技大学经济管理学院,山东,青岛,266510 |
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| 基金项目： | 山东科技大学"春雷计划"资助项目 |
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| 摘 要： | 假设汇率变化过程服从带跳的几何布朗运动，股票价格遵循带跳的O-U过程，建立汇率连动期权市场模型，利用保险精算方法和Girsanov公式，给出了汇率连动期权的定价公式，获得了欧式看涨和看跌期权定价公式及平价公式．
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| 关 键 词： | 公平保费 汇率连动期权 期权定价 伊藤公式 Girsanov公式 |
An Actuarial Approach to Quanto Option Pricing Following Complicated Process |
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| ZHANG Yuan-qing,WEN De-mei,LIU Mei-juan.An Actuarial Approach to Quanto Option Pricing Following Complicated Process[J].Mathematics in Economics,2010,27(1):67-72. |
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| Authors: | ZHANG Yuan-qing WEN De-mei LIU Mei-juan |
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| Institution: | 1. College of Science, Shandong University of Science and Technology, Qingdao 266510,China; 2. College of Economic and Management, Shandong University of Science and Technology, Qingdao 266510,China) |
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| Abstract: | Assuming that foreign exchange rate is followed by Geometry Brownian Motion with jumps, and the price of stock is followed by Ornstein-Uhlenback process, the model of Quanto option was obtained. Using an actuarial approach and Girsanov formula to deal with the pricing formula of European option on Quanto option,the pricing of European call and put option and put-call parity was obtained. |
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| Keywords: | fair premium quanto options option Pricing Ito Formula Girsanov Formula |
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