跳扩散模型下的外汇联动交换期权定价
Equity-linked foreign exchange option pricing under jump-diffusion model
刘颖 1胡超蕾 1李文汉1
作者信息
- 1. 河北地质大学数理教学部,河北石家庄 050031
- 折叠
摘要
在风险中性测度下,建立以外币计价的在境外上市的具有跳扩散过程的股票价格和汇率满足的随机微分方程,研究了附有汇率在某一区间变动的示性函数的外汇联动交换期权的定价问题.在实证分析中,结合港元/人民币汇率和沪港通股票价格的真实数据,讨论了所研究期权的定价问题,并与相关期权进行价格比较,同时对该期权的敏感度进行了分析.
Abstract
In this paper,we study the pricing of Equity-linked foreign exchange option with an indicative function of exchange rate which changes in a certain range by establishing the stochastic differential equation for the stock price and exchange rate based on the risk-neutral measure.The stock is listed overseas with a jump-diffusion process.In the empirical analysis,we discuss the option pricing problem above and compare the price with relevant options by the real data of the Hong Kong dollar/RMB exchange rate and the stock price of the Shanghai-Hong Kong Stock Connect.At the same time,the sensitivity of the option is analyzed.
关键词
汇率/外汇期权/跳扩散模型/实证分析Key words
exchange rate/foreign exchange option/jump-diffusion model/empirical analysis引用本文复制引用
出版年
2024
NETL
NSTL
万方数据