汇率联动期权的随机波动率模型及其定价

Foreign Equity Options Pricing with Stochastic Vatility

当汇率联动期权的标的资产具有随机波动率过程时,用鞅定价理论讨论了汇率联动期权的价值,并由Feynman-Kac公式得到了其定价方程,进一步讨论了美式汇率联动期权的价值应满足的随机微分方程.当波动率过程为几何Brown运动模型时,由鞅方法讨论了汇率联动期权的定价闭式解.

This paper studies the pricing of Foreign Equity Options on Stochastic Vatility models. By using martingale pricing methods and Feynman-Kac formula, we showed the stochastic differential equation which the options, must be satisfied and the general pricing expressions. Further more, when the stochastic vatility is Geometric Brown motion, by means of martingale analysis, the general pricing formula is obtained.