[1]郭峰,李时银.与股票相关的欧式汇率买入期权定价公式[J].华侨大学学报(自然科学版),2008,29(4):630-632.[doi:10.11830/ISSN.1000-5013.2008.04.0630]
　GUO Feng,LI Shi-yin.The Pricing Formula for European Exchange Rate Call Option Related with the Stock[J].Journal of Huaqiao University(Natural Science),2008,29(4):630-632.[doi:10.11830/ISSN.1000-5013.2008.04.0630]
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与股票相关的欧式汇率买入期权定价公式()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第29卷
期数:
2008年第4期
页码:
630-632
栏目:
出版日期:
2008-10-20

文章信息/Info

Title:
The Pricing Formula for European Exchange Rate Call Option Related with the Stock
文章编号:
1000-5013(2008)04-0630-03
作者:
郭峰; 李时银
华侨大学数学科学学院
Author(s):
GUO Feng;  LI Shi-yin
School of Mathematics Science, Huaqiao University, Quanzhou 362021, China
关键词:
欧式汇率;  买入期权;  期权定价;  鞅定价方法;  风险中性
Keywords:
European exchange rate;  call option;  option pricing;  martingale pricing method;  risk-neutral
分类号:
F830.9; F224
DOI:
10.11830/ISSN.1000-5013.2008.04.0630
文献标志码:
A
摘要:
在标的资产价格服从对数正态过程的条件下,研究与股票相关联的欧式汇率买入期权的定价问题.将对数正态扩散过程表达的随机过程转化为风险中性,并在此条件下用鞅定价方法推导出与股票相关联的欧式汇率买入期权的价格公式.
Abstract:
We studing the pricing problem of pricing European exchange rate call option related with the stock under the condition that underlying assets price following the logarithmic normal processes.By applying the martingale pricing method in a world in which the logarithmic normal diffuse processes are expressed risk-neutral,we get European exchange rate call option related with the stock.

参考文献/References:

[1] 李时银. 期权定价与组合选择--金融数学与金融工程的核心 [M]. 厦门:厦门大学出版社, 2002.
[2] 陈松男. 金融工程学 [M]. 上海:复旦大学出版社, 2002.
[3] BLACK F, SCHOLES M. The pricing of options and corporate liabilities [J]. Journal of Political Economy, 1973(3):637-654.
[4] COX J C, INGERSOLL J E, ROSS S A. An intertemporal general equilibrium model of asset prices [J]. Econometrica, 1985(2):364-384.
[5] JOHN C H. Options, futures, and other derivatives [M]. 北京:清华大学出版社, 2006.

备注/Memo

备注/Memo:
华侨大学科研基金资助项目(04HZR08)
更新日期/Last Update: 2014-03-23