基于外汇汇率的几何亚式期权定价  

Geometric Asian option pricing based on foreign exchange rate

作　　者：刘阳 刘颖 李文汉 LIU Yang;LIU Ying;LI Wenhan(College of Mathematics and Physics,Hebei GEO University,Shijiazhuang,Hebei 050031,China)

机构地区：[1]河北地质大学数理学院,河北石家庄050031

出　　处：《内江师范学院学报》2022年第8期47-51,共5页Journal of Neijiang Normal University

摘　　要：在真实的金融市场中,外汇汇率通常在某一个范围内波动,因此在有关汇率的金融衍生品定价问题中,常常把汇率限定在某一个范围内.基于此,在给定汇率服从连续扩散过程的基础上,讨论附有汇率波动范围的示性函数的几何亚式期权定价问题,通过随机过程和概率论相关知识推导出价格公式,并结合美元/人民币的真实汇率进行数据分析,得出可行性和优势.In the real financial market,foreign exchange rates usually fluctuate within a certain range,so in the financial derivative pricing problem concerning exchange rates,the exchange rates are often restricted to a certain range.Based on this,on the basis that the given exchange rate obeys a continuous diffusion process,the geometric Asian option option pricing problem with an indicative function of the range of exchange rate fluctuations is discussed,and the price formula is derived through the stochastic process and knowledge related to probability theory,and the feasibility and advantages are derived by combining the real exchange rate of USD/CNH with data analysis.

关 键 词：汇率 几何平均亚式期权 期权定价 

分 类 号：O211.6[理学—概率论与数理统计]