一类带有线性约束条件下随机环境汇率模型

A Type of Random Envionment Exchange Rate Models under Linear Constrains

汇率是两国货币进行兑换的比率,它是一个相当重要的经济变量.考虑到状态变化对汇率的实际影响,本文在随机经济环境下建立了一类随机汇率模型.汇率,外汇的供给与需求满足如下的随机微分方程:det={ret+λ[D(et)-S(et) ] }dt+σetdWt,当S(et)=-c+det,D(et)=a-bet时,求得满足上式的汇率过程的显示解,并求得此时外汇欧式期权的定价公式.

Exchange rate is a very important economic index. A type of random exchange rate models under the random economy envionment is established. Exchange rate, demand and supply of foreign currence satisfy the following stochastic differential function:de t={re t+λ[D(e t)-S(e t)]}dt+σe tdW t, when S(e t)=-c+de t,D(e t)=a-be t.