双重货币模型下的货币互换期权定价

The Pricing of Currency Swap Options in Dual Currency Model

研究在市场无套利的条件下双重货币模型的货币互换期权的定价问题.应用已有的双重货币模型下的远期外汇协议的定价公式,利用货币互换与远期外汇协议的关系求得双重货币模型下货币互换的定价公式,最后利用资产定价基本定理运用等价鞅测度得出双重货币模型的货币互换期权的定价公式.

In this paper,the pricing of currency swap options in dual currency model under the condition of no arbitrage in the market is researched. The pricing formula of currency swap in dual currency model is gained by applying the pricing formula of forward exchange agreement in dual currency model and using the relationship between currency swap and forward exchange agreement. Finally,the pricing formula of currency swap option in dual currency model is obtained by using the fundamental theorem of asset pricing and the equivalent martingale measure method.