PRICING AND HEDGING PROBLEM OF FOREIGN CURRENCY OPTION WITH HIGHER BORROWING RATE  

作　　者：CHEN Li HUANG Zongyuan WU Zhen 

机构地区：[1]Department of Mathematics,China University of Mining Technology [2]School of Mathematics,Shandong University

出　　处：《Journal of Systems Science & Complexity》2013年第3期407-418,共12页系统科学与复杂性学报（英文版）

基　　金：supported by the National Nature Science Foundation of China(11221061,61174092,11126214,11126208);the National Science Fund for Distinguished Young Scholars of China(11125102);the Fundamental Research Funds for the Central Universities(2010QS05)

摘　　要：The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential equations(BSDE for short) theory and Malliavin calculus technique.The sensitivity of the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.

关 键 词：Backward stochastic differential equation Malliavin calculus portfolio strategy pricing. 

分 类 号：F830.9[经济管理—金融学] O211.63[理学—概率论与数理统计]