计算机与数字工程2019，Vol.47Issue(8)：1874-1877,1946,5.DOI:10.3969/j.issn.1672-9722.2019.08.006
双分数随机利率环境下汇率连动期权定价
Quanto Option Pricing Models in Bifractional Stochastic Interest Rate
摘要
Abstract
It is assumed that the stock price and exchange satisfies stochastic differential equation driven by bi-fractional Brownian motion. The interest rate satisfies the Vasicek model,by using the stochastic analysis theory for bi-fractional Brownian motion and the method of actuarial mathematics,the financial market mathematical model is built. And the pricing formula of quan?to option under bi-fractional stochastic interest rate is obtained. The result of the quanto option pricing formula in fractional Brown?ian motion is extended.关键词
双分数布朗运动/随机利率/汇率连动期权/保险精算Key words
bi-fractional Brownian motion/stochastic interest rate/quanto option/actuarial mathematics分类
管理科学引用本文复制引用
刘淑琴,薛红..双分数随机利率环境下汇率连动期权定价[J].计算机与数字工程,2019,47(8):1874-1877,1946,5.基金项目
陕西省自然科学基础研究计划"双分数跳-扩散过程随机分析理论及其应用研究"(编号:2016JM1031)资助. （编号:2016JM1031）
