An actuarial approach to foreign currency option pricing

机译：外币期权定价的精算方法

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摘要

Using physical probabilistic measure of price process and the principle of fair premium, we deal with pricing formula of option on Foreign currency option under the assumption that foreign option price process driven by fractional Brownian motion process, we obtain the pricing formula of foreign option.

机译：利用价格流程的物理概率措施和公平溢价的原则，我们处理外币选项的定价配方，假设外国选项价格流程由分数布朗运动流程驱动，我们获得了外国选项的定价公式。

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来源
《International Conference on Informatization in Education, Management and Business》|2015年||共7页
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作者
Zhang Min;
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中图分类 G20-53;
关键词
Fair premium option pricing foreign currency option fractional; Brownian motion;

机译：公平优质期权定价外币选项分数;布朗运动;

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1. Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option [J] . Foad Shokrollahi, Adem Klman Advances in Difference Equations . 2015,第1期

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2. Actuarial Approach to Option Pricing in a Fractional Black-Scholes Model with Time-Dependent Volatility [J] . Adrian FALKOWSKI Bulletin of the Polish Academy of Sciences. Mathematics . 2013,第2期

机译：具有时间依赖性波动率的分数Black-Scholes模型中期权定价的精算方法
3. Pricing Options and Convertible Bonds Based on an Actuarial Approach [J] . Jian Liu, Lizhao Yan, Chaoqun Ma Mathematical Problems in Engineering . 2013,第pta15期

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4. An actuarial approach to foreign currency option pricing [C] . Zhang Min International Conference on Informatization in Education, Management and Business . 2015

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5. Essays on financial derivatives: Essay One. Predicting future volatility in currency options market. Essay Two. Calibration of Heston's model in currency options market. Essay Three. Pricing European options and calibration in equity -linked derivatives market. [D] . Murat, Atilim. 2007

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机译：外币期权定价的精算方法

An actuarial approach to foreign currency option pricing

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