基于指数Lévy过程的随机债券利率欧式外币期权定价  

PRICING FOREIGN CURRENCY OPTIONS WITH STOCHASTIC BOND RATES IN EXPONENTIAL LVY MODEL

作　　者：陈旭[1] 万建平[1] 

机构地区：[1]华中科技大学数学系,武汉430074

出　　处：《经济数学》2006年第2期135-139,共5页Journal of Quantitative Economics

基　　金：国家自然科学基金项目(NSF10571065)

摘　　要：本文考虑国内外债券利率均为随机条件下的欧式外币期权定价.外币价格,国内外利率均用指数Lévy过程描述.并将本文的模型与经典的Black-Scholes模型进行了比较.We consider the pricing model for European foreign currency options where the domestic and foreign bond rates are assumed to be stochastic. The dynamics of domestic currency price of one unit of foreign currency, domestic and foreign bond rates are all described by exponential Lévy processes. We give the integlo - differential equation for the option price and compare our model with Black- Scholes model.

关 键 词：欧式外币期权 随机债券利率 指数Lévy过程 Poisson点过程 integro-differential方程 

分 类 号：F830.9[经济管理—金融学] TP317[自动化与计算机技术—计算机软件与理论]