Pricing and hedging problem of foreign currency option with higher borrowing rate

被引：0

作者：

Li Chen

Zongyuan Huang

Zhen Wu

机构：

[1] China University of Mining Technology,Department of Mathematics

[2] Shandong University,School of Mathematics

来源：

Journal of Systems Science and Complexity | 2013年 / 26卷

关键词：

Backward stochastic differential equation; Malliavin calculus; portfolio strategy; pricing;

D O I：

暂无

中图分类号：

学科分类号：

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 the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.

引用

页码：407 / 418

页数：11