Analysis Of Mathematical Model About The Pricing Of Foreign Currency Option

Financial mathematics is a new developing frontier branch of science, it is now being paid close attention to in the domain of international finance and applied mathematics. Uncertain pricing is one of the key questions of financial mathematics study, and it involves the theories of modern finance such as asset pricing thoery, investment combination theory and it involves theories of modern mathematics such as stochastic analysing , stochastic controlling and optimizing theory too. Its theoretical research not only enriches and develops the modern finance to study but also played the function of the motive force on a lot of branches of mathematics.This text has mainly discussed the application of option pricing to foreign currency, the content is arranged as follows: Firstly, In solution to the needing of paying expenses of the trade in the present foreign currency option trade, bing forward the model of foreign currency option pricing; Secondly, Provide one option price demarcation line judge the method base on the premise that the exchange rate change obeys two forks of tree models. Find that it doesn't obey Brownian motion that the foreign exchange rate changes through a large amount of data analysis (link the course of receiving), obey Hurst index greater than 1/2 , smaller than 1 fractional Brownian motion , provide fractional Ito theorem, provide a foreign currency option under the enviroment of fractional Brownian motion.Finally, RMB data of exchange rate is analysed with R/S method , and the conclusion is draw that Hurst of the exchange rate of RMB is greater than 1/2 and smaller than 1, and then draw the conclusion that the exchange rate of RMB obeys to the fractional Brownian motion, and some advice is given.