随机波动率跳-扩散模型下外汇期权本外币对称公式  

Foreign-Domestic Symmetry Formula of FX Options in Stochastic Volatility Jump-Diffusion Model

作　　者：鲍群芳[1] 黄文礼[2] 李胜宏[1] 

机构地区：[1]浙江大学数学系,杭州310027 [2]浙江科技学院数学系,杭州310023

出　　处：《应用数学学报》2013年第4期748-760,共13页Acta Mathematicae Applicatae Sinica

基　　金：国家自然科学基金(70973104);教育部科学技术研究重大项目(309018);浙江省自然科学基金(Y6110023);浙江省研究生创新科研(YK2010002)资助项目

摘　　要：外汇期权本外币对称公式表示本币看涨/看跌期权与外币看跌/看涨期权用同类定价函数表示的等价关系.通过测度变换法指出本币测度下的Bates模型和Heston模型在外币测度下保持模型类型不变,并且由此证明这两个模型下的本外币对称公式,其中的定价函数由Attari公式给出.数值分析给出了本外币对称公式的应用示范,并且详细分析了Attari公式的计算速度优势.Foreign-domestic symmetry formula of FX options presents the relationship between model prices of call/put domestic-denominated options and put/call foreign-denominated options under the same type of model. Model invariance of Bates model and Heston model from domestic measure to foreign measure are proved via change of measure approach. Based on the invariance property, foreign-domestic formula is proved for the two models, where the Attari＇s formula is adopted as pricing formula. Numerical analysis is performed to show application of the symmetry formula, and speed advantage of Attari＇s formula is confirmed.

关 键 词：外汇期权 随机波动率 跳 本外币对称公式 Attari公式 

分 类 号：F830.9[经济管理—金融学]