摘要
在国外股价和汇率都服从Merton跳跃扩散过程的背景下,建立欧式买入双币种期权定价模型。选取零息票债券作为计价单位,运用等价鞅测度和多元正态分布的知识得到跳跃扩散型欧式看涨双币种期权的显式解;并用零息票债券的定价得到在随机利率下跳越扩散型欧式看涨双币种期权的价格。
Quanto European call options model in the jump-diffuision process are established under the backgroud of foreign-stock price and exchange satisfying a jump-diffusion process.After zero-coupon bonds was selected as price units,the explict solution of quanto European call options is obtained by applying equivalent maritingale measure and knowledge of multiple normal distribution.Then the price of quanto European call options is obtained by pricing of zero-coupon bonds under the condition of stochastic interest rates.
出处
《科学技术与工程》
2010年第34期8482-8486,共5页
Science Technology and Engineering
关键词
跳跃-扩散过程
双币种期权
等价鞅测度
零息票债券
jump-diffuision process Quanto Options equivalent martingale measure zero-coupon bonds
