标题:PRICING AND HEDGING PROBLEM OF FOREIGN CURRENCY OPTION WITH HIGHER BORROWING RATE
作者:CHEN Li;HUANG Zongyuan;WU Zhen;
作者机构:[CHEN Li;HUANG Zongyuan;WU Zhen]Department of Mathematics,China University of Mining Technology;[CHEN Li;HUANG Zongyuan;WU Zhen]School of Mathematics, 更多
通讯作者:Chen, L
通讯作者地址:[Chen, L]China Univ Min Technol, Dept Math, Beijing 100083, Peoples R China.
来源:Journal of Systems Science & Complexity
出版年:2013
卷:26
期:3
页码:407-418
DOI:10.1007/s11424-013-1018-8
关键词:Backward stochastic differential equation;Malliavin calculus;portfolio strategy;pricing.
摘要:The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential equations(BSDE for short) theory and Malliavin calculus technique.The sensitivity of...
收录类别:EI;SCOPUS;SCIE
资源类型:期刊论文
原文链接:http://kns.cnki.net/kns/detail/detail.aspx?FileName=XTYW201303007&DbName=CJFQ2013
TOP