双币种永久美式期权定价

Pricing of the Perpetual Quanto American Options

在Black-Scholes框架下,利用无套利定价方法,建立了双币种永久美式期权的定价模型,并分析了敲定价分别以国内货币计价和国外货币计价下的双币种永久美式期权的定价问题,通过运用偏微分方程的方法得到了这两种情形下期权价格的显式解.最后通过数值模拟,分析了标的资产和汇率的波动水平以及相关系数对期权的最优执行策略和期权价格的影响.

The pricing of the perpetual quanto American option un and the pricing of the options is andyzed in the domestic currency and i tively. The option pricing model is established to obtaine the pricing American options and the optimal exercise boundary in the two case effects of underlying asset volatility, exchange rate volatility and their option price and the optimal exercise strategy are analyzed through th der B--S frame is discussed, n the foreign currency respec- formulas of perpetual quanto respectively. In the last, the correlation coefficient on the e numerical simulation.