摘要
在利率确定情形下 ,利用公平保费原则和价格过程的实际概率测度———保险精算方法给出外汇期权定价公式 。
In this paper,assume that the interest is given,using physical probability measure of price process and the principle of fair premium——an actuarial approach,we deal with pricing formula of European option on foreign currency,and obtain pricing of European call and put option.
出处
《贵州大学学报（自然科学版）》
2004年第1期43-45,58,共4页
Journal of Guizhou University:Natural Sciences
关键词
期权定价
公平保费
概率测度
保险精算
option pricing
fair premium
probability measure
actuarial approach
