| 随机利率情形下外汇未定权益定价 |
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| 引用本文： | 薛红,聂赞坎.随机利率情形下外汇未定权益定价[J].系统工程学报,2000,15(3):287-289. |
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| 作者姓名： | 薛红 聂赞坎 |
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| 作者单位： | 西安交通大学理学院,西安710049 |
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| 摘 要： | 在随机利率情形下，利用鞅方法给出外汇欧式未定权益定价公式，得到了欧式看涨期和看跌期权价格解析表达式及平价关系；最后，讨论期权套期保值策略。
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| 关 键 词： | Ito公式 未定权益 欧式期权 外汇 随机利率 |
| 修稿时间： | 1999-05-17 |
Pricing contingent claim on foreign currency under stochastic interest rate |
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| XUE Hong,NIE Zan-kan.Pricing contingent claim on foreign currency under stochastic interest rate[J].Journal of Systems Engineering,2000,15(3):287-289. |
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| Authors: | XUE Hong NIE Zan-kan |
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| Abstract: | In this paper, assume that interest is stochastic,using martingale method, we deal with pricing formula of European contingent claim on foreign currency, and obtain price of European call and put option. We also discuss hedging strategy of option. |
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| Keywords: | martingale Ito formula contingent claim European option |
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