The Pricing Of Cross-currency Options

With the growth in globalization of investments in recent years.the agents can invest not only in the domain capital market,but also in the foreign capital market.The cross-currency derivatives is of theoretical significance and practical value in financial mathematics,because of the indetermination in exchange rate and the price of asset.In this paper,according to the risk neutral pricing theory,the reciprocal stochastic differential equations and the general pricing formulas of the four types of cross-currency options are given,so series of reference pricing are provided in practice.For the price of asset and exchange rate may change discontinu-ously,and statistic analysis has shown obvious "thick tail" distribution of the price of asset,so supposing the price of asset is jump-diffusion process,we make further study about the pricing of the cross-currency options and have obtained the integro-differential equation.