基于LELAND-LOTT思想双币种期权定价  

The Quanto Option Pricing Based on the Theory of Leland-Lott

作　　者：柳士峰[1] 

机构地区：[1]昆明理工大学理学院,云南昆明650500

出　　处：《科技视界》2013年第24期148-148,143,共2页Science & Technology Vision

摘　　要：本文利用期权复制、无套利对冲原理、计价单位转换、随机微分方程等工具,对具有交易费用的双币种期权的定价进行了探讨。得到了支付交易费用的双币种期权所满足的偏微分方程和定价公式。This paper investigates the pricing of the quanto options with transaction costs by using option replicating principle, no-arbitrage hedge theory, change of numeraire, stochastic differential equations and other tools. Then I have concluded the partial differential equation and the pricing formula of the quanto options with transaction costs.

关 键 词：双币种期权 交易成本 Leland期权定价 随机微分方程 

分 类 号：O211.63[理学—概率论与数理统计]