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| 随机利率下亚式双币种期权的定价 | |
| 引用本文： | 郭培栋,陈启宏,张寄洲.随机利率下亚式双币种期权的定价[J].系统工程学报,2010,25(2). |
| 作者姓名： | 郭培栋 陈启宏 张寄洲 |
| 作者单位： | 1. 上海财经大学金融学院,上海,200433 2. 上海财经大学应用数学系,上海,200433 3. 上海师范大学数理学院,上海,200234 |
| 基金项目： | 国家重点基础研究发展规划(973计划)，上海财经大学211工程三期重点学科建设资助项目，国家自然科学基金，教育部科技创新工程重大项目培育资金，上海市科委重大科技攻关资助项目，上海财大研究生创新基金 |
| 摘 要： | 在Black-Scholes的框架下,假设本国利率遵循短期随机利率模型(Vasicek模型),利用无套利方法,建立了敲定价和汇率分别为固定或浮动的3种情形下的亚式双币种期权的定价模型,运用偏微分方程的方法得到了这3种情形下期权的定价公式.然后,通过数值分析,讨论了期权关于时间变量的依赖行为. |
| 关 键 词： | 亚式双币种期权 随机利率 Vasicek模型 期权定价 |
Asian quanto options pricing under stochastic interest rate |
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| GUO Pei-dong,CHEN Qi-hong,ZHANG Ji-zhou.Asian quanto options pricing under stochastic interest rate[J].Journal of Systems Engineering,2010,25(2). | |
| Authors: | GUO Pei-dong CHEN Qi-hong ZHANG Ji-zhou |
| Institution: | GUO Pei-dong1,CHEN Qi-hong2,ZHANG Ji-zhou3 (1.School of Finance,Shanghai Finance , Economic University,Shanghai 200433,China,2.Department of Applied Mathematics,Shanghai University of Finance , Economics,3.School of Mathematics , Science,Shanghai Normal University,Shanghai 200234,China) |
| Abstract: | In the framework of Black-Scholes,assuming that domestic interest rate follows the Vasicek short-run interest rate model,three pricing models of Asian quanto options including the strike price and the exchange rate being fixed or floating are set up respectively by using the method of no-arbitrage.Applying the technique of partial differential equation(PDE),The pricing formulas of three Asian quanto options are derived.Subsequently,the paper discuss the behavior that the options pricing formula depends on t... |
| Keywords: | Asian quanto-option stochastic interest rate Vasicek model pricing option |
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