外汇期权定价模型比较与应用浅析  

A Brief Analysis of Comparison and Application of FX Option Pricing Models

作　　者：田琦程 

机构地区：[1]江苏银行资金营运中心

出　　处：《中国货币市场》2020年第4期39-41,共3页China Money

摘　　要：外汇期权作为一种新兴金融衍生产品,现已成为国际金融市场的重要避险和投资工具。通过合理的数学模型来确定外汇期权的价格,是投资者应用期权锁定外汇敞口、控制汇率风险的关键性问题。合理的期权定价的一个重要前提,是对标的物分布作准确描述。该文对三种代表性外汇期权定价模型的原理及适用条件进行简要介绍和论述。As an emerging financial derivative product,FX options have become an important hedge and investment tool in the international financial market.Determining the price of FX options via a reasonable mathematical model has been a key issue for investors to use options to lock down FX exposures and control exchange rate risks.An important premise for reasonable option pricing is an accurate description of the distribution of the underlying assets.This article briefly introduces and discusses the principles and applicable conditions of three representative FX option pricing models.

关 键 词：国际金融市场 外汇期权 汇率风险 期权定价 金融衍生产品 外汇敞口 应用浅析 模型比较 

分 类 号：F831.53[经济管理—金融学] F831.52