变异期权在汇率风险管理中的应用——以复合期权为例

The application of exotic option in management of exchange risk

介绍了变异期权的概念及其特点,并以复合期权为例,介绍了变异期权在汇率风险管理中的应用。指出复合期权是最常见的一种变异期权,它是一种便宜的风险管理形式。对于汇率风险管理问题,变异期权理论的应用无疑是一种新的思维方式和解决方法。

The concept and character of exotic options are introduced. Their application in the management of exchange risk is studied. The example of compound options shows the validity of methods in this paper Compound options are a general kind of exotic options and a form of cheap risk management. Applieation of exotic options theory is a sort of new method for thought and solution to the management of exchange risk.