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人民币对外汇期权定价问题探讨

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摘要 为了对人民币对外汇期权产品正确定价和风险评估,本文研究几种代表性外汇期权定价模型对人民币外汇期权定价的效果,比较模型包括Garman-Kohlhagen模型、对数均匀分布的跳跃扩散模型和蒙特卡罗模拟方法。
作者 王平 黄运成
出处 《商业时代》 北大核心 2012年第32期60-61,共2页 Commercial
基金 上海高校优秀青年老师培养资助计划资助项目(1-11-36-shlx012-01) 上海立信会计研究院资助项目(11311A1111KJYJ04)
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