摘要
研究了汇率连动选择权中执行价是本国货币的外国股票权证的欧式幂型期权的鞅定价问题，推导了其看涨、看跌定价公式，并求出了其相应的避险参数．
Quanto European power-function domestic currency with martingales method is /put option price and hedging parameters are options pricing of foreign equity call struck in investigated in this paper. The formula of call also derived.
出处
《数学的实践与认识》
CSCD
北大核心
2010年第14期1-8,共8页
Mathematics in Practice and Theory
关键词
汇率连动权证
欧式幂型期权
期权定价
鞅方法
避险
quanto option
European power-function options
option pricing
martingales method
hedging
