基于外汇汇率买入的带跳扩散股票的期权定价
The Option Pricing for the Stocks with Jump Diffusion Based on Foreign Exchange Buying Rate
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摘要: 在风险中性假设下,通过建立以外币计价的股票价格服从带跳扩散过程的随机微分方程和外币汇率的随机微分方程,考虑到影响外汇汇率的因素和影响股票价格因素的相关性,得到了与之相关联的买入的以本币计价的欧式期权定价公式.Abstract: In case of risk neutral, by constructing stochastic differential equation in which the stock price calculated by use of foreign currency conforms to jump diffusion and the stochastic differential equation of foreign currency exhange rate, and taking into consideration the corelation between the influencing factors of foreign exchange rate and stock price, the correspondent European option pricing formula(pricing in base currency) is thus worked out.