Exchange Rate-Linked: Pricing Analysis of Structured Deposits Based on Fractional Brownian motion

摘要：

The pricing problem of structured deposits of exchange rate-linked has been discussed under Fractional Brownian motion. The pricing model is established and the pricing formula is obtained. In the end the formula is applied to an example and the valuation of product and the sensitivity are also analyzed. The result shows that the product in the example is issued at a discount, and its extent reduces with the approach of maturity. The initial value has a positive relationship with the volatility, initial exchange rate, interest rates and yield. While it is the inverse function of Hurst exponent and barrier point.

关键词： Fractional Brownian motion Exchange rate-linked Pricing

作者: Yu-yuan Tong Xue-zhi Qin Yi-rong Ying

作者单位: College of Management, Shanghai University, Shanghai, 200444, China School of Management, Dalian University of Technology, Dalian, 116024, China

会议类型: 国际会议

会议名称: The Tenth International Conference on Information and Management Sciences(IMS)(第十届信息与管理科学国际会议)

会议地点: 拉萨

会议语种:英文

页码: 63-68

在线出版日期: 2011-08-06（万方平台首次上网日期，不代表论文的发表时间）