[1]潘素娟.基于随机汇率条件下的国外股票 亚式回望期权的定价公式[J].延边大学学报(自然科学版),2019,45(04):315-321.
　PAN Sujuan.Pricing formula of asian lookback options for foreignstocks based on stochastic exchange rate[J].Journal of Yanbian University,2019,45(04):315-321.
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基于随机汇率条件下的国外股票 亚式回望期权的定价公式

《延边大学学报(自然科学版)》[ISSN:1004-4353/CN:22-1191/N] 卷: 第45卷 期数: 2019年04期 页码: 315-321 栏目: 应用科学研究 出版日期: 2020-01-15
Title:
Pricing formula of asian lookback options for foreign stocks based on stochastic exchange rate
文章编号:
1004-4353(2019)04-0315-07
作者:
潘素娟1; 2
( 1.福建商学院 信息工程学院, 福建 福州 350012; 2.金融数学福建省高校重点实验室(莆田学院), 福建 莆田 351100 )
Author(s):
PAN Sujuan1; 2
( 1.Department of Information Engineering, Fujian Commercial College, Fuzhou 350012, China; 2.Key Laboratory of Financial Mathematics, Fujian Province University(Putian University), Putian 351100, China )
关键词:
随机汇率;  离散几何平均;  Ito -Skorohod随机微分方程;  鞅定价技巧;  回望期权
Keywords:
stochastic exchange rate;  discrete geometric average;  Ito -Skorohod stochastic differential equation;  martingale pricing techniques;  lookback option
分类号:
O211.6; F830.9
文献标志码:
A
摘要:
在标的资产价格和汇率均为随机的情况下,用含有Poisson过程的Ito -Skorohod随机微分方程描述股票价格的运动.在考虑汇率风险的情况下,利用鞅定价技巧(风险中性方法)和多元统计分析,计算并推导出一种基于离散几何平均资产的国外股票回望买入期权的定价公式.该公式可为未来国内出现的同类期权的合理定价提供参考.
Abstract:
When the underlying asset price and exchange rate were stochastic, the Ito -Skorohod stochastic differential equation with Poisson process was used to describe the movement of stock price. Considering the exchange rate risk, a pricing formula of foreign stock call -back options based on floating execution price of discrete geometric average assets is calculated and deduced by using martingale pricing technique(risk neutral method)and multivariate statistical analysis. The formula can provide guidance for the reasonable pricing of similar options in the domestic market in the future.

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相似文献/References:

[1]潘素娟,陈逢明,李时银.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[J].延边大学学报(自然科学版),2017,43(03):198.
　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(04):198.
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备注/Memo

收稿日期: 2019-08-09 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: 国家自然科学基金资助项目(11001142); 金融数学福建省高校重点实验室开放课题立项项目(JR201802)

更新日期/Last Update: 2020-01-15