【摘要】 在利率确定的情形下,当汇率价格服从跳-扩散模型时,市场不完备,传统的期权定价方法不能用;本文利用保险精算方法定价方法给出外汇期权的定价。更多还原

【Abstract】 In this paper,assuming the interest rate is given,the financial market is incomplete when foreign exchange rate is driven by jumpdiffusion stochastic process,so,the traditional pricing methods of options can not be used.In this article,we deal with pricing formula of European option on foreign currency by using actuarial approach.更多还原