汇率期权的保险精算定价及均值分析  

Actuarial Approach to Exchange Rate Option Pricing

作　　者：张元庆[1] 刘洪霞[1] 

机构地区：[1]山东科技大学理学院,山东青岛266510

出　　处：《吉首大学学报（自然科学版）》2010年第2期33-36,共4页Journal of Jishou University(Natural Sciences Edition)

基　　金：山东科技大学"春雷计划"资助项目(2008AZZ087)

摘　　要：基于一个具体的汇率模型,讨论了汇率期权的定价问题,综合考虑了利率和购买力以及交割价格对汇率的影响.利用公平保费原理和价格过程的实际概率测度-保险精算方法给出了汇率期权定价公式,得到欧式看涨期权和看跌期权精确定价公式及平价公式,并给出均值的置信区间.The problem of exchange rate option pricing is discussed based on concrete exchange rate model.The effect of interest rate,purchasing power and account pring on exchange rate is considened.Using physical probability measure of price process and the principle of fair premium,and by an actuarial approach,the authors obtain the accurate pricing formula and put-call parity of European call and put option.The confidence interval of mean value is also obtained.

关 键 词：公平保费 期权定价 汇率 

分 类 号：O211.67[理学—概率论与数理统计]