The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential e...The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential equations(BSDE for short) theory and Malliavin calculus technique.The sensitivity of the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.展开更多
基金supported by the National Nature Science Foundation of China(11221061,61174092,11126214,11126208)the National Science Fund for Distinguished Young Scholars of China(11125102)the Fundamental Research Funds for the Central Universities(2010QS05)
文摘The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential equations(BSDE for short) theory and Malliavin calculus technique.The sensitivity of the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.
