PAN Sujuan,CHEN Fengming,LI Shiyin.The pricing formulas of a foreign stock asian exchange optionwith the risk of the exchange rate and the default[J].Journal of Yanbian University,2017,43(03):198-204.
基于汇率和违约双重风险下的外国股票亚式交换期权的定价公式
- Title:
- The pricing formulas of a foreign stock asian exchange option with the risk of the exchange rate and the default
- Keywords:
- exchange option; stochastic exchange rate; credit risk; Martingale measure; stochastic liabilities
- 分类号:
- O211.6; F830.9
- 文献标志码:
- A
- 摘要:
- 基于汇率风险暴露下,考虑标的资产价格与该资产所属企业的企业价值以及汇率均遵循对数正态过程的假设下,研究如何把一类外国股票期权推广到股票分红和债务随机时的情况,并利用结构方法推导出以国内股票价格为执行价的该股票亚式交换期权的信用风险定价公式.
- Abstract:
- Based on the exchange rate risk exposure, on the hypothesis of underlying asset price, enterprise value and exchange rate following logarithmic normal processes, we researched the method of how to expand the foreign stock options to the stock dividend one with stochastic liabilities. By applying the method of structural approach, we derived the pricing formulas of the foreign stock asian exchange options by the strike price with inland stockprice.
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备注/Memo
收稿日期: 2017-06-05 作者简介: 潘素娟(1982—),女,副教授,研究方向为金融工程与金融数学.
基金项目: 福建省中青年教师教育科研项目(JA15733); 国家自然科学基金资助项目(11001142)