Journal of East China Normal University(Natural Sc ›› 2003, Vol. 2003 ›› Issue (2): 27-31.

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

TIAN Rong; CHAI Jun   

  1. 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

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