跳跃分形过程下欧式汇率期权的定价

假设汇率变化过程服从带跳跃的分形布朗运动,建立跳跃分形的汇率期权市场模型,利用分形Girsanov公式和自融资策略,推导出跳跃分形汇率市场中欧式未定权益在任意时刻的定价公式。然后,根据汇率期权定价原理得出跳跃分形过程下欧式汇率期权的定价公式。最后选取欧元/美元汇率期权进行实证分析,通过比较不同定价模型的结果说明了汇率市场兼具跳跃和分形的特性。

Pricing European Foreign Currency Option under Jump Fractional Brownian Motion

Assuming that the exchange rate fllows jump fractional Brownian motion,by constructing foreign currency option market under jump fractional Brownian environment,a pricing formula for a European con- tingent claim is derived by using fractional Girsanov formula and self-financing strategy.Moreover,a pri- cing formula of a European foreign currency option is obtained based on the principle of option pricing.At last,we give an empirical analysis of EUR/USD option,the results of different pricing models show th...