摘要
汇率连动期权是一种未定权益,其投资者不得不同时规避国外股票和外汇价格变动的风险.本文讨论两种汇率连动期权:一种汇率期权,连动国外股票价格的变化;一种写在国外股票上的固定汇率期权,在到期的时候,利用预先约定的汇率将期权的价值转换为国内的货币价值.在利率和汇率同时随机的情况下,本文得到了这两种看涨期权价格的精确解.更进一步,通过得到看涨-看跌期权的平价公式,本文也获得了看跌的汇率连动期权的价格.
The quanto option is a contingent claim whose investor has to consider to avoid the risk from both the foreign stock price and exchange rate simultaneously. In this paper,we discuss two cases of the quanto options.an exchange rate option with the change of foreign stock price,and an option of pre-agreed exchange rate gwhose value is transformed to domestic currency value by pre-specified exchange rate at maturity time. This paper provides analytic solutions for pricing these types of quanto options under certain specifications of the initial domestic forward curve,foreign forward curve and the exchange rate in a complete market. Furthermore,put-call parity formulae and close-form pricing formulae of put quanto option are provided for these products.
出处
《应用数学》
CSCD
北大核心
2008年第2期384-389,共6页
Mathematica Applicata
基金
校启动基金(KYS021507048)
关键词
汇率连动期权
远期利率
汇率
The quanto options
The forward rate
Exchange rate
