随机利率下双币种期权的定价

Quanto options pricing under stochastic interest rate

双币种期权是为在国际贸易和投资中规避各种不同类型的风险而设计的一种期权,在Black-Scholes的框架下,运用偏微分方程的方法,比较系统地讨论了在本国或地区利率遵循短期利率模型(Vasicek模型)下欧式双币种期权的定价模型,并给出了相应的定价公式．

Quanto options are designed for investors who would llke to avoid different types of risk in the international trade and investment. In this paper, using the method of PDE in the Black - Scholes world,we discuss the pricing model of the vanilla European style quanto options on the assumption that the domestic interest rate follows the Visicek short-run interest rate model. And we derive some corresponding pricing formulas.