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为解决正态跳扩散运动过程模型的外汇期权定价的问题.在外汇汇率的相对跳跃高度服从对数二项式分布运动的条件下,建立相应的正态跳扩散模型,采用风险中性测度原理、It?公式以及推广的Girsanov定理等方法,得到了刻画外汇期权买权的定价公式.利用外汇期权看涨-看跌的平价公式,得出外汇期权卖权的定价公式.研究结果:发展和完善了外汇期权市场和外汇期权定价理论.
In order to solve the problem of pricing foreign exchange options in the process model of normal diffusion diffusion, under the condition that the relative jump height of foreign exchange rate obeys the logarithmic binomial distribution motion, a corresponding normal jump diffusion model is established and the risk neutral measure principle , It? Formula and generalized Girsanov’s theorem are used to get the pricing formula which describes the call options of foreign exchange options.Using the bullish-bearish par value formula of foreign exchange options, the pricing formula of foreign options options is obtained.Results: The development and improvement of Foreign exchange options market and foreign exchange option pricing theory.