Heath-Jarrow-Morton构架下外国债券期货期权的定价模型(英文)

• 作 者: 丁杰能 韩东
• 机 构: Department of Mathematics Shanghai Jiaotong University,Department of Mathematics,Shanghai Jiaotong U
• 出 处: Journal of Shanghai University(English Edition)
• 发表日期: 2007年06期
• 关键词: currency Heath Morton martingale options 期货期权 外国债券 定价 Brownian pricing

Under the Heath-Jarrow-Morton(HJM)framework,this paper studies the pricing models of three European foreign zero-coupon bond futures options(i.e.,European options written on foreign zero-coupon bond futures),and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure.These three options are:(1) foreign bond futures options struck in foreign currency;(2)foreign bond futures options struck in domestic currency;(3)fixed exchange rate foreign bond futures option.

Under the Heath-Jarrow-Morton (HJM) framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options (ie, European options written on foreign zero-coupon bond futures), and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure.These three options are: (1) foreign bond futures options struck in foreign currency; (2) foreign bond futures options struck in domestic currency; (3) fixed exchange rate foreign bond futures option.