摘要
假定股价和汇率分别满足双分数跳-扩散过程,期望收益率、无风险利率和波动率均为常数,建立双分数跳-扩散过程下金融市场数学模型,运用保险精算方法,得到了双分数跳-扩散过程下汇率连动期权定价公式.
Assume that the stock price and exchange rate satisfies the bi-fractional jump diffusion process, the expected return rate, risk-less interest rate and the volatility rate are constants. The financial market mathematical model is built by the stochastic analysis for bi-fractional jump-diffusion process. Using the actuarial approach, the pricing formula of Quanto option is obtained.
出处
《杭州师范大学学报（自然科学版）》
CAS
2017年第6期659-664,共6页
Journal of Hangzhou Normal University(Natural Science Edition)
基金
陕西省自然科学基础研究计划项目(2016JM1031)
西安工程大学研究生创新基金资助项目(CX201712)
关键词
双分数布朗运动
跳-扩散过程
保险精算
汇率连动期权
bi-fractional Brownian motion
jump-diffusion process
actuarial mathematics
Quanto option
