多维汇率联动期权跳——扩散模型及其定价

Foreign Equity Options on the Jump-Diffusion Model and Its Pricing

在资产价格服从跳——扩散模型,汇率服从不同跳跃幅度的不连续模型的基础上,考虑用无套利分析方法得到了期权应满足的随机微分方程,并由Feynman-Kac公式,得到了多种欧式汇率联动期权的计算公式;当汇率联动期权具有随机寿命时,进一步研究了多种欧式汇率联动期权的价格。

This paper studies the option pricing and foreign equity options on discontionuous random models when the exchange rate has different ＂jumping＂ scopes from the options. By using no-arbitrary pricing methodes and Feynman-Kac formula,we get the stochastic differential equation in which the options must be satisfied. Furthermore,when the options has random lives,by means of the similar stochastic analysis,the general pricing formula is obtained.