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本文考虑了标的资产服从目标区域下的汇率扩散模型的外汇期权定价。利用套期保值的方法分别得到了不支付红利、支付红利以及强路径依赖的亚式外汇期权满足的偏微分方程。
This paper considers the option pricing of the underlying asset subject to the exchange rate diffusion model under the target area. By using hedging method, we obtain the partial differential equations satisfied by the Asian foreign exchange options without paying dividends, payment dividends and strong path dependence respectively.