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汇率服从跳扩散过程的外汇期权定价

The Exchange Rate of Foreign Exchange Option Pricing in Jump Diffusion Process
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摘要 在汇率过程为分形跳—扩散过程,执行价格为常数的条件下,构造出汇率函数受分形Brown运动和跳—扩散过程共同作用的模型,得到了执行价格为常数的外汇期权的定价公式. In this paper, a model is constructed, whose exchange rate function is influnced by the fractal Brown motion, jump - diffusion process under the exchange rate process is fractal jump - diffusion process and executive price is constant, and a pricing formula of foreign exchange reset options is obtained when the executive price is constant.
作者 王永娟 孙丽男
机构地区 黑河学院
出处 《哈尔滨师范大学自然科学学报》 CAS 2017年第1期22-24,共3页 Natural Science Journal of Harbin Normal University
关键词 分形跳—扩散 外汇期权 汇率 保险精算定价 Fractal jump - diffusion Foreign exchange reset options Exchange rate Actuarial pricing
分类号 F830.92 [经济管理—金融学]
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哈尔滨师范大学自然科学学报
2017年 第1期

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