作　　者： ; ; ; ;

机构地区： 华南理工大学工商管理学院

出　　处： 《系统工程理论与实践》 2009年第6期68-76,共9页

摘　　要： 应用风险偏好和均衡定价方法,考虑了标的资产服从分数布朗运动下的汇率期权定价问题.首先利用条件期望构建了条件过程的联合密度函数,然后,基于历史有限信息推导出分数欧式汇率期权的闭式解.为了理解定价模型,进一步分析了赫斯特指数对定价结果的影响.最后,给出了基于GBP/USD期权的实证研究.不同模型的结果说明了汇率市场具有分形特性. By applying risk preferences and equilibrium pricing approach, the problem of pricing currency options when the underlying asset follows a fractional Brownian process is considered in this paper. Firstly, the associated density of the conditional process is constructed using the conditional expectation. Then, an analytic solution for fractional European currency options is derived based on limited knowledge about the past. For the sake of understanding this pricing model, the influence of the Hurst parameter is also analyzed. Finally, an empirical study of GBP/USD option is presented. The pricing results of different models provide the evidence that the currency market has the fractal properties.

关 键 词： 汇率期权 分数布朗运动 风险偏好 条件期望

领　　域： [经济管理]