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随着外汇现货市场波动的日益加大,外汇期权已经成为对外汇资金进行保值以及投资的重要手段。而作为一种金融衍生产品,外汇期权的定价问题倍受关注。从20世纪70年代以来,无数经济学家围绕外汇期权定价模拟出了无数经典的模型,但始终没有找到一个最合适的模型加以概括。本文对外汇期权的两个经典模型BSGK、GARCH模型进行了基本阐述,并对比分析了这两种模型的定价特征。
With the increasing volatility of foreign exchange spot market, foreign exchange options have become an important means of preserving foreign exchange and investment. As a financial derivative product, the pricing of foreign exchange options has drawn much attention. Since the 1970s, countless economists have simulated innumerable classic models around the pricing of foreign exchange options, but have not found a most suitable model to summarize. In this paper, two classic models of foreign exchange option, BSGK and GARCH, are described. The pricing features of these two models are compared and analyzed.