等价鞅测度模型在外汇期权定价中的应用

华东师范大学学报(自然科学版) ›› 2003, Vol. 2003 ›› Issue (2): 27-31.

等价鞅测度模型在外汇期权定价中的应用

田蓉，柴俊

华东师范大学数学系，上海 200062

收稿日期:2001-10-16 修回日期:2002-06-01 出版日期:2003-04-15 发布日期:2003-04-15

Applications of Equivalent Martingale Measures Model in Pricing Option on Foreign Currency

TIAN Rong; CHAI Jun

Department of Mathematics, East China Normal University, Shanghai 200062,China

Received:2001-10-16 Revised:2002-06-01 Online:2003-04-15 Published:2003-04-15

摘要/Abstract

摘要： 在随机利率下，分别就单因子模型和双因子模型两种情况展开讨论，利用等价鞅测度模型给出欧式外汇期权定价的一般公式。

关键词: 等价鞅测度, 自融资策略, 无套利价格, 双因子模型, 等价鞅测度, 自融资策略, 无套利价格, 双因子模型

Abstract: Under stochastic interest, by using of equivalent martingale measures model, we discuss single-factor model and two-factor model respectively, and obtain pricing formula of European option on foreign currency.

Key words: self-finance, no-arbitrage, two-factor model, equivalent martingale, self-finance, no-arbitrage, two-factor model

田蓉;柴俊. 等价鞅测度模型在外汇期权定价中的应用[J]. 华东师范大学学报(自然科学版), 2003, 2003(2): 27-31.

TIAN Rong;CHAI Jun. Applications of Equivalent Martingale Measures Model in Pricing Option on Foreign Currency[J]. Journal of East China Normal University(Natural Sc, 2003, 2003(2): 27-31.