| 跳扩散模型下外汇期权的模糊定价 |
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| 引用本文： | 余星,孙红果,陈国华.跳扩散模型下外汇期权的模糊定价[J].娄底师专学报,2010(2):5-6. |
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| 作者姓名： | 余星 孙红果 陈国华 |
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| 作者单位： | 湖南人文科技学院数学与应用数学系,湖南娄底417001 |
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| 基金项目： | 湖南人文科技学院青年课题资助项目（2008QN013） |
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| 摘 要： | 基于汇率服从跳扩散过程下的外汇期权定价公式,将外汇价格和波动率、跳的高度模糊化,得到模糊环境下外汇期权的最大置信区间。
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| 关 键 词： | 外汇期权 模糊 跳扩散过程 期权定价 |
Fuzzy Pricing about Currency Options under the Process of Jump-diffusion |
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| YU Xing,SUN Hong-guo,CHEN Guo-hua.Fuzzy Pricing about Currency Options under the Process of Jump-diffusion[J].Journal of Loudi Teachers College,2010(2):5-6. |
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| Authors: | YU Xing SUN Hong-guo CHEN Guo-hua |
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| Institution: | (Department of Maths and Application Maths,Hunan Institute of Humanities,Science and Technology,Loudi,417001,China) |
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| Abstract: | Under the foreign exchange option pricing formula of the jump-diffusion process based on exchange rates,the foreign exchange price,fluctuation rate and jumping height become fuzzy,so we get the biggest believing area of foreign exchange option under fuzzy environment. |
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| Keywords: | foreign exchange option fuzzy jump-diffusion option pricing |
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