一类期权型外汇存款的套利分析

Arbitrage Analysis of a Class of Deposit Product with Option Style

建立了一类与短期利率相关的期权型外汇存款条约定价的偏微分方程数学模型,当短期利率模型为无套利的Hull-White时,得到了一个精确的表达式,当短期利率模型为一般的模型时,可用差分方法求解,并且得到了价格的一个上界与下界,讨论了可能存在的套利行为.最后还研究了可赎回存款条约及其他的情形.

This paper establishes the pricing model for a class of foreign exchange deposit product with option style. The possibility of arbitrage of this product is analyzed. Especially, when the Hull-White interest rate model is adopted, a close form formula is obtained. In other cases, the finite difference method can be used. Some related problems such as recallable cases are also studied in this paper.