AAM  >> Vol. 2 No. 1 (February 2013)

    Pricing Quanto Options in a Jump-Diffusion Model with Stochastic Domestic and Foreign Interest Rates

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双币种期权跳扩散模型Hull-White随机利率模型鞅方法 Quanto Options; Jump-Diffusion Model; Hull-White Stochastic Interest Rates; Martingale Method



The quanto option is a contract which invests to foreign assets and whose payoff depends on not only the price of foreign stock, but also the effect of exchange rate and domestic and foreign interest rates. The quanto option is widely used in international trade and risk management. This paper considers the valuations for four types on quanto European call options under the assumption of foreign-stock price and exchange rate both satisfing a jump-diffusion model and domestic and foreign interest rates being random. The analytical price formulas for the quanto options are firstly obtained by applying martingale method and Girsanov measure transformation method with jump diffusion process. Secondly, these results in the proposed model are compared with those in the Black-Scholes model through numerical calculation. Finally, we analyze the interest rate and jumping parameters on option price effect.

马奕虹, 邓国和. 跳扩散模型下国内外利率随机的双币种期权定价[J]. 应用数学进展, 2013, 2(1): 1-9. http://dx.doi.org/10.12677/AAM.2013.21001


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