摘要
在双重货币模型下讨论股指期货期权定价问题.基于标准普尔500指数(S&P500指数)期货期权,应用多因子Girsanov定理,寻找使S&P500指数期货期权的人民币价值的贴现价格过程为鞅的概率测度,最终在人民币市场为S&P500指数期货期权定价.
In this article, the futures option pricing problem in the dual currency model is discussed. Based on the S＆P 500 index futures option, and a measure is looked for Cirsanov theorem with multifactor which makes the discount price process of S＆P 500 index futures option priced by RMB is a martingals. Finally, the S＆P 500 index futures option is priced in RMB market.
出处
《哈尔滨师范大学自然科学学报》
CAS
2013年第1期1-4,共4页
Natural Science Journal of Harbin Normal University
基金
黑龙江省自然科学基金资助项目(A201106)
关键词
双重货币模型
股指期货期权
多因子Girsanov
汇率
Dual currency model
Stock index futures options
Multifactor girsanov＇ s theorem
Exchange rate
