| 随机利率下双币种期权的定价 |
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| 引用本文： | 郭培栋,张寄洲.随机利率下双币种期权的定价[J].上海师范大学学报(自然科学版),2006,35(6):25-29. |
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| 作者姓名： | 郭培栋 张寄洲 |
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| 作者单位： | 上海师范大学,数理信息学院,上海,200234 |
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| 基金项目： | 上海市教委高校科学发展基金;上海市重点学科建设项目 |
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| 摘 要： | 双币种期权是为在国际贸易和投资中规避各种不同类型的风险而设计的一种期权，在Black—Scholes的框架下，运用偏微分方程的方法，比较系统地讨论了在本国或地区利率遵循短期利率模型（Vasicek模型）下欧式双币种期权的定价模型，并给出了相应的定价公式．
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| 关 键 词： | 双币种期权 随机利率 Vasicek模型 期权定价 |
| 文章编号： | 1000-5137（2006）06-0025-05 |
| 收稿时间： | 2006-09-06 |
| 修稿时间： | 2006-09-06 |
Quanto options pricing under stochastic interest rate |
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| GUO Pei-dong,ZHANG Ji-zhou.Quanto options pricing under stochastic interest rate[J].Journal of Shanghai Normal University(Natural Sciences),2006,35(6):25-29. |
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| Authors: | GUO Pei-dong ZHANG Ji-zhou |
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| Institution: | Mathmatics and Sciences College, Shanghai Normal University, Shanghai 200234, China |
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| Abstract: | Quanto options are designed for investors who would llke to avoid different types of risk in the international trade and investment. In this paper, using the method of PDE in the Black - Scholes world,we discuss the pricing model of the vanilla European style quanto options on the assumption that the domestic interest rate follows the Visicek short-run interest rate model. And we derive some corresponding pricing formulas. |
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| Keywords: | quanto options stochastic interest rate Vasicek model pricing options |
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