指数Levy过程下汇率联动期权的保险精算定价  

Insurance Actuary Pricing of Linked Exchange Rate Options under Exponential of a Levy Process

作　　者：杜丹燕[1] 刘颖[1] 

机构地区：[1]杭州师范大学理学院,浙江杭州310018

出　　处：《科技创业月刊》2008年第10期43-44,共2页Journal of Entrepreneurship in Science & Technology

摘　　要：在考虑汇率对期权价格的影响下,对汇率和标的物价格过程都服从指数Levy过程的假设,利用保险精算法和Levy过程的一些重要性质,得到了此时汇率联动期权的定价公式。This paper considers the affection about exchange rate to the price of options, supposes that exchange rate and pricing process respectively driven by an exponential of a Levy process, uses an actuarial approach and some important quality of Levy process, and obtains pricing formula of European option on foreign equity options.

关 键 词：期权定价 保险精算方法 指数Levy过程 汇率联动期权 

分 类 号：F830.9[经济管理—金融学]