分数跳-扩散下外汇期权定价

Foreign Currency Option Pricing in Fractional Jump-Diffusion Environment

用保险精算方法,在股票价格服从分数跳-扩散过程,且无风险利率、波动率和期望收益率为时间的非随机函数,给出了外汇期权定价公式.

If the underlying asset follows a fractional jump-diffusion process,and the risk-free rate, volatility,and expected rate are time function,the value of the foreign currency option pricing formula was given by using insurance actuary pricing methods.