外汇数字期权的定价与风险管理

Pricing and Risk Management of Foreign Exchange Digital Options

本文首先在理论层面梳理了外汇数字期权的损益结构和定价原理。其次,从数字期权的风险参数入手,考察各希腊字母随即期汇率和波动率的动态变化,了解不同期限数字期权风险参数的特征。最后,通过对比数字期权与普通欧式期权,探讨实务中数字期权的动态对冲。

This paper first summarizes the profit and loss structure and pricing principles of foreign exchange digital options at a theoretical level. Secondly, starting from the risk parameters of digital options, we examine the dynamic changes of greeks with spot exchange rates and volatility, and understand the characteristics of risk parameters of digital options with different maturities.Finally, by comparing digital options with ordinary European options, we explore the dynamic hedging of digital options in practice.