摘要
研究了汇率联动的欧式幂型股票交换期权的定价问题,在风险中性概率测度下,基于不同的经济学背景,提出了两种汇率联动的幂交换期权定价模型,利用鞅定价原理及Girsanov变换,得到了相应的定价公式.
The pricing problems of quanto European power-function stock exchange options were studied. Based on different economic backgrounds, two pricing models of quanto power-function exchange options were proposed under the risk-neutral probability measure; the corresponding pricing formula was derived by using the martingale pricing principle and Girsanov transformation.
出处
《徐州工程学院学报（自然科学版）》
CAS
2011年第3期35-38,共4页
Journal of Xuzhou Institute of Technology(Natural Sciences Edition)
基金
中央高校基本业务费专项基金资助项目(2010LKSX03)
关键词
汇率联动期权
幂交换期权
鞅定价
GIRSANOV变换
quanto options
power-function exchange options
martingale pricing
Girsanov transformation
