正态跳扩散模型下的外汇期权定价  

Normal jump diffusion model of foreign exchange option pricing

作　　者：路秀玲[1] 徐玉民[1] 郭园园[1] 

机构地区：[1]燕山大学理学院,河北秦皇岛066004

出　　处：《辽宁工程技术大学学报（自然科学版）》2014年第4期560-563,共4页Journal of Liaoning Technical University (Natural Science)

基　　金：河北省教育厅基金资助项目(Z2008136)

摘　　要：为解决正态跳扩散运动过程模型的外汇期权定价的问题.在外汇汇率的相对跳跃高度服从对数二项式分布运动的条件下,建立相应的正态跳扩散模型,采用风险中性测度原理、It?公式以及推广的Girsanov定理等方法,得到了刻画外汇期权买权的定价公式.利用外汇期权看涨-看跌的平价公式,得出外汇期权卖权的定价公式.研究结果:发展和完善了外汇期权市场和外汇期权定价理论.In order to solve the normal jump diffusion motion process model of foreign exchange option pricing problem, this paper constructed the corresponding normal jump diffusion model with the condition of foreign exchange rate relative hto leap to logarithmic binomial distribution the movement. Using the risk neutral measure principle, Ito formula and Girsanov theorem of promotion methods, the characterization of currency options to buy right pricing formula was obtained. Then using parity formula of currency options being bullish-bearish, the prepayments currency options pricing formula was derived. The research results contributed to the development and improvement of the currency options market and foreign exchange option pricing theory.

关 键 词：外汇期权 外汇汇率 风险中性定价 正态跳扩散模型 ITO公式 概率测度 POISSON过程 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]