外汇期权的多维跳-扩散模型  

MULTI-DIMENSIONAL JUMP-DIFFUSION MODEL ON FOREIGN EXCHANGE OPTION

作　　者：熊双平[1] 

机构地区：[1]上海师范大学数理信息学院,上海201418

出　　处：《经济数学》2005年第3期240-247,共8页Journal of Quantitative Economics

摘　　要：本文建立了外汇期权的多维跳-扩散模型,在此模型下将外汇欧式未定权益的定价问题归结为一类倒向随机微分方程的求解问题,证明了这类倒向随机微分方程适应解的存在唯一性问题,并给出了一个关于外汇欧式未定权益的定价公式.Multi dimensional jump diffusion model on foreign exchange option is established. Under this model, we reduce the pricing on foreign exchange option to solution probiem of a backward stochastic differential epuation （BSDE）. Moreover, the existence and uniqueness of the solution of this BSDE are proved. The pricing formula of European contingent claims on foreign exchange is also obtained.

关 键 词：投资组合策略 欧式未定权益 倒向随机微分方程 鞅 

分 类 号：O211.61[理学—概率论与数理统计] Q141[理学—数学]