跳跃过程下的汇率连动期权的定价

An Actuarial Approach to Quanto Option Pricing Following Complicated Process

假设汇率变化过程服从带跳的几何布朗运动,股票价格遵循带跳的O-U过程,建立汇率连动期权市场模型,利用保险精算方法和Girsanov公式,给出了汇率连动期权的定价公式,获得了欧式看涨和看跌期权定价公式及平价公式.

Assuming that foreign exchange rate is followed by Geometry Brownian Motion with jumps, and the price of stock is followed by Ornstein-Uhlenback process, the model of Quanto option was obtained. Using an actuarial approach and Girsanov formula to deal with the pricing formula of European option on Quanto option,the pricing of European call and put option and put call parity was obtained.