随机利率下的外汇欧式期权定价  

European Option Pricing on Foreign Exchanges Under Stochastic Interest Rates

作　　者：吴永红[1] 李琼[1] 金勇[1] 

机构地区：[1]武汉理工大学理学院,武汉430062

出　　处：《武汉理工大学学报（交通科学与工程版）》2011年第5期1020-1022,共3页Journal of Wuhan University of Technology（Transportation Science & Engineering）

基　　金：中央高校基本科研业务费专项资金资助(批准号:2010-1a-036;2011-1a-019)

摘　　要：在随机利率情况下,利用鞅方法研究了外汇欧式期权的定价问题,得到了欧式期权(看涨和看跌)价格的解析表达式,及其评价关系.文中考虑了期权的对冲问题及本国和外国利率波动的非零相关性,本国和外国利率波动对汇率波动的影响.Option pricing problems were discussed on European exchange under the case of stochastic interest rate,by using martingale methods.It obtains European option price analytical expression（call and put）.Moreover,their evaluation relationship,and off setting was considered.Domestic and foreign interest rate movements were considered for exchange rate fluctuations impact and non-zero correlation between domestic and foreign interest rate volatility.

关 键 词：随机利率 期权定价 外汇 债券 鞅 

分 类 号：F830.9[经济管理—金融学]