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外汇期权本外币对称公式表示本币看涨/看跌期权与外币看跌/看涨期权用同类定价函数表示的等价关系.通过测度变换法指出本币测度下的Bates模型和Heston模型在外币测度下保持模型类型不变,并且由此证明这两个模型下的本外币对称公式,其中的定价函数由Attari公式给出.数值分析给出了本外币对称公式的应用示范,并且详细分析了Attari公式的计算速度优势.
The foreign currency symmetry of foreign exchange option represents the equivalence relationship between the domestic bull / put and the foreign currency bear / call using the same pricing function.Through the measure transformation method, it is pointed out that the Bates model and the Heston model under local currency measure keep the model type under the foreign currency measure And prove the symmetry between foreign currency and foreign currency under the two models, in which the pricing function is given by the Attari formula.Numerical analysis shows the demonstration of the application of the symmetry formula of the foreign currency and foreign currency, and analyzes in detail the calculation speed advantage of the Attari formula .