外汇累积期权定价与应用及风险分析——以中信泰富的澳元累积期权为例

Foreign Exchange Accumulator Pricing and Its Application and Crisis Analysis——Taking Australian Dollar Accumulator of Citic Pacific as an Example

阐述了累积期权和外汇累积期权的含义,进行了外汇累积期权定价和风险分析,着重对香港中信泰富澳元累积期权亏损案例进行了分析,提出了防范风险的措施。

This paper expounds the connotations of accumulator and foreign exchange accumulator,discusses the pricing and crisis analysis of foreign exchange accumulator,focusing on analyzing the loss case of Citic Pacific （Hong Kong）＇s Australian dollar accumulator,and puts forward some measures for preventing crisis.