| 分形市场中具有时变利率的欧式外汇期权定价 |
| |
| 引用本文： | 申敏. 分形市场中具有时变利率的欧式外汇期权定价[J]. 科学技术与工程, 2008, 8(24) |
| |
| 作者姓名： | 申敏 |
| |
| 作者单位： | 南京工业大学理学院数学与应用数学系,南京,210009 |
| |
| 摘 要： | 选取最一般的外汇期权作为研究对象，在分形-Ito-积分下证明国内国外无风险利率均为关于时间t的非随机函数时的欧式外汇看涨和看跌期权价格公式，并说明经典Black—Scholes期权定价公式是本公式的特例。
|
| 关 键 词： | 外汇期权 时变利率 期权定价 几何分数布朗运动 |
Pricing of Europe Option on Foreign Exchange with Time-varing Interest Rate in Fractional Market |
| |
| SHEN Min. Pricing of Europe Option on Foreign Exchange with Time-varing Interest Rate in Fractional Market[J]. Science Technology and Engineering, 2008, 8(24) |
| |
| Authors: | SHEN Min |
| |
| Affiliation: | SHEN Min(Department of Mathematics , Applied Mathematics,Science College,Nanjin University of Technology,Nanjin 210009,P.R.China) |
| |
| Abstract: | The ordinariest option on foreign exchange is selected to be researched.Under the hypothesis of foreign exchange price submitting to Geometric Fractional Brownian Motion,the formula of the pricing of Europe foreign exchange option with the domestic and the foreign risk-free interest rate are both time-varing is derived,the classic Black-Scholes formula is the exception of the conclusion is also explained. |
| |
| Keywords: | option on foreign exchange time-varing interest rate option pricing geometric fractional Brownian Motion |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
