随机利率模型下欧式看涨外汇期权定价研究-research on pricing european call foreign exchange options under stochastic interest rate model.docxVIP

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随机利率模型下欧式看涨外汇期权定价研究-research on pricing european call foreign exchange options under stochastic interest rate model.docx

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随机利率模型下欧式看涨外汇期权定价研究-research on pricing european call foreign exchange options under stochastic interest rate model

AbstractEuropeancallForeignCurrencyoptionUnderStochasticInterestRateEuropeancallForeignCurrencyoptionUnderStochasticInterestRateInrecentyears,withthedeepeningof?nancialreformandtheopeningoftheChina(Shanghai)PilotFreeTradeZone,interestratehasamoreandmoreimportantimpactonthe?nancialinstruments.Atpresent,therearetwotypesofresearchonEuropeancallfor-eignexchangeoptionpricingproblem.Onetypeisthatthedomesticandforeigninterestratesarecertain,whiletheexchangerateisarandomvari-able.Theotheristhedomesticinterestrate,theforeigninterestrateandexchangerateareallrandomvariables.ThethesisisbasedonthetheoryofCRRAneutralpricingandthestochasticdi?erentialequationtoforthelattertype.Interestratere-spectivelysatisfyVasickmodel,andexchangeratemeettheconditionsoflogarithmicfallmodel.UsingthetheoryofCRRAneutralpricing,apartialdi?erentequationforthepricingfunctionindomesticcurrencyofforeigncurrencyoptionisestablished.Thisisaverycomplexpartialdi?erentialequation.Throughanalyzingthestructureoftheequation,wegetthesolutionexpressionbyusingthetoolsofordinarydi?erentialequationsandconstructinganewtransformation.Inaddition,thepriceevolutionofforeigncurrencyoptionwheninterestrateandexchangerateandtheirvolatilitymove,isexamined.Keywords:ForeigncurrencyOptionvaluation,Neutralpricing,Partialdi?erentialequation,parameterssensitivityanalysisWrittenbyLiWeiSupervisedbyProf.ZhuningII目录第1章前言···························································································(1)1.1金融数学简介···········································································(1)1.2外汇期权的相关概念································································(1)1.3研究外汇期权的必要性····························································(2)1.4相关文献回顾和评述································································(3)1.5本文的结构安排········································································(5)第2章数学模型···················································································(7)2.1相关定义和定理··························