收益与汇率变化范围挂钩的存款产品定价  

Pricing Deposit Product of Exchange Rate Range Accrual

作　　者：任学敏[1] 李少华[1] 

机构地区：[1]同济大学应用数学系,上海200092

出　　处：《同济大学学报（自然科学版）》2005年第4期550-553,共4页Journal of Tongji University:Natural Science

基　　金：国家自然科学基金资助项目(10171078)

摘　　要：为满足部分投资者的理财需要,近来许多银行推出了收益与某个指标(如汇率未来的变化范围)挂钩的存款产品.在此,在汇率满足几何布朗运动的假设下,对以不同货币取得的收益和汇率记息的不同范围,用偏微分的方法给出了显式定解公式,并作了一些定性分析,以显示其金融含义.Recently,many banks issue special fixed deposit ,whose return depend on range of some index in the future,for instance,the exchange rate,to meet the needs of the investors.Under the assumption that the exchange rate follow the geometric Brownian motion,we derive the closed-form solution by partial differential equation approach in different cases:the interest is paid in local or foreign currency,and in the form of the range.Meanwhile we also make some qualitative analysis to show its financial meanings.

关 键 词：汇率 范围记息 存款 二值期权 

分 类 号：O231.3[理学—运筹学与控制论]