分形市场中具有时变利率的欧式外汇期权定价  

Pricing of Europe Option on Foreign Exchange with Time-varing Interest Rate in Fractional Market

作　　者：申敏[1] 

机构地区：[1]南京工业大学理学院数学与应用数学系,南京210009

出　　处：《科学技术与工程》2008年第24期6565-6568,共4页Science Technology and Engineering

摘　　要：选取最一般的外汇期权作为研究对象,在分形-Ito-积分下证明国内国外无风险利率均为关于时间t的非随机函数时的欧式外汇看涨和看跌期权价格公式,并说明经典Black-Scholes期权定价公式是本公式的特例。The ordinariest option on foreign exchange is selected to be researched. Under the hypothesis of foreign exchange price submitting to Geometric Fractional Brownian Motion , the formula of the pricing of Europe foreign exchange option with the domestic and the foreign risk-free interest rate are both time-varing is derived, the classic Black-Scholes formula is the exception of the conclusion is also explained.

关 键 词：外汇期权 时变利率 期权定价 几何分数布朗运动 

分 类 号：F830.9[经济管理—金融学]