基于指数Lévy过程的随机债券利率欧式外币期权定价

PRICING FOREIGN CURRENCY OPTIONS WITH STOCHASTIC BOND RATES IN EXPONENTIAL LVY MODEL

本文考虑国内外债券利率均为随机条件下的欧式外币期权定价.外币价格,国内外利率均用指数Lévy过程描述.并将本文的模型与经典的Black-Scholes模型进行了比较.

We consider the pricing model for European foreign currency options where the domestic and foreign bond rates are assumed to be stochastic. The dynamics of domestic currency price of one unit of foreign currency, domestic and foreign bond rates are all described by exponential Lévy processes. We give the integlo - differential equation for the option price and compare our model with Black- Scholes model.