摘要
主要研究汇率回报呈厚尾分布的外汇期权定价问题。本文利用t—分布能捕获汇率回报序列厚尾特征的优势,推导出基于t—分布外汇期权定价模型的解析表达式,即对外汇期权定价模型———BSGK模型进行了修正,同时应用矩估计法估计出的t—分布的自由度用于该定价模型的计算,最后基于t—分布的外汇期权定价模型和BSGK外汇期权定价模型进行了比较分析。
This paper develops an efficient method for pricing foreign currency options when the exchange rate returns have a heavy-tailed distribution. In modeling heavy tails, we deduce foreign currency options pricing model based on exchange rate returns having t distributions and estimate degrees of freedom by method of moments estimator, finally, we compare and analyze the results we coming from using foreign currency options model based on t distributions and BSGK model.
出处
《运筹与管理》
CSCD
2006年第3期137-140,共4页
Operations Research and Management Science
关键词
外汇期权
厚尾分布
T-分布
矩估计法
foreign currency options
heavy-tailed distribution
t distribution
method of moments estimator
