PRICING AND HEDGING PROBLEM OF FOREIGN CURRENCY OPTION WITH HIGHER BORROWING RATE

PRICING AND HEDGING PROBLEM OF FOREIGN CURRENCY OPTION WITH HIGHER BORROWING RATE

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...

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Veröffentlicht in:Journal of systems science and complexity 2013-06, Vol.26 (3), p.407-418
Hauptverfasser: Chen, Li, Huang, Zongyuan, Wu, Zhen
Format: Artikel
Sprache:eng
Schlagworte:
Complex Systems
Control
Mathematics
Mathematics and Statistics
Mathematics of Computing
Operations Research/Decision Theory
Statistics
Systems Theory
倒向随机微分方程
借贷
利率
套期保值
定价
微分方程理论
期权
模型参数
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Zusammenfassung: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 the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.
ISSN:1009-6124
1559-7067
DOI:10.1007/s11424-013-1018-8