两类跳扩散模型的双币种期权定价  

Pricing Quanto Option and its Applications under Two Types of Jump-Difussion Models

作　　者：何家文[1] 韦铸娥[1] 

机构地区：[1]北京航空航天大学北海学院,广西北海536000

出　　处：《凯里学院学报》2012年第3期9-12,共4页Journal of Kaili University

基　　金：新世纪广西科学基金资助项目(0991090)

摘　　要：在股价和汇率都服从跳扩散模型下考虑了双币种期权定价.利用测度变换,Fourier反变换得到一般跳扩散模型的欧式看跌期权定价显示解.给出正态和双指数分布情形时跳扩散模型的双币种期权定价.通过实例计算,对正态和和双指数2类跳扩散模型的相应结果进行比较.In this paper, we considered the pricing of quanto options under the jump - diffusion model in which stock price and exchang follow both the normal distribution and the double exponential distribution, respectively. The pricing formulas for quanto options are derived under the jump - diffusion model by applying Fourier transform and equivalent martingale measure. And the closed - form pricing formulas for quanto options in the two classes of the normal jump - diffusion model and the double exponential jump - diffusion model are also obtained. Finally, theseresults in the normal distribution are compared with those in the double exponential distribution through numerical examples.

关 键 词：双币种期权 跳扩散模型 等价鞅测度 Fourier反变换 

分 类 号：F830.91[经济管理—金融学] F224