【作者】 王雄；

【导师】 杨向群；

【作者基本信息】 湖南师范大学 ， 概率论与数理统计， 2004， 硕士

【摘要】 近年来，随着投资的全球化，双币种衍生证券越来越受到投资者的青睐。它们的收益不仅依赖于某国的标的资产，而且还受到汇率变动的影响，实际收益用另一国的货币表示。根据外国标的资产和汇率，可以构造出许许多多不同的组合。来满足不同投资者和套期保值者的需要。 本文运用风险中性定价理论，求出了随机利率情形下4类双币种远期契约的定价公式以及它们的远期价格。同时，利用鞅方法求出了常利率情形下4类双币种障碍期权的解析表达式，为实践者提供理论上的参考价值。该文组织结构如下： 在第一章中，简要地介绍了本文研究的来源，对象以及所使用的研究方法。 在第二章中，介绍了本文所使用的几个数学定理和一些与本文有关的假设。 在第三章中，首先，将双币种远期契约进行分类，运用风险中性定价理论，推导出了在Hull & white利率模型下，4种双币种远期契约的价格表达式以及它们的远期价格。 在第四章中，将双币种障碍期权分成4类，求出了在常利率情形下4种双币种障碍期权的封闭解。 第五章，总结与展望。更多还原

【Abstract】 With the growth in globalization of investments in recent years, the quanto derivative securities have gained wider popularity. Their payoffs are determined not only by a financial asset price or index in one currency but also by the exchange rate. The payoffs of these quanto derivative securities can be structured in a variety of combinations of linking foreign asset price and exchange rate, thus generating a rich set of choices of investment and hedging opportunities for investors.In this paper, according to the Risk-Neutal pricing theory, the four types of quanto forward contracts where the domestic and foreign interest rates are assumed to be stochastic are derived. In the meantime, four closed-formed solutions to quanto barrier options are obtained by making use of the Martingale pricing Method, so series of reference pricing are provided in practice.This paper is organized as follows:In chapter 1, we simply introduce the origin, objective and the way used of this paper.In chapter 2, we simply recalled several mathematics theorem and some supposition relative to this paper.In chapter 3, Quanto forward contract is classified into four types. Four prices formulas and forward prices for four types of quanto forward contracts where the domestic and foreign interest rate are assumed to be satisfied Hull & White model are derived.In chapter 4,Quanto barrier option is also classified into four types. Four closed-form solutions to quanto barrier options where the domestic and foreign interest rate are assumed to be constant are obtained by making use of the Martingale pricing Method.In chapter 5, conclusion and prospects.更多还原