Pricing For A Jump-Diffusion Foreign Exchange Options With Interest Rate Under Vasicek Model

Subsequently from reformation and openess grow,our foreigine economic trade activities has become more internationliezd an standarliezd. untill now. assets trade with abroad has been very prosperous. As main circulation channel.foreign currency exchang option has play very importent part.but form 1970's fixed exchang rate system had been replaced by floating exchang system.How to kown the rask of exchang rate in a right way? How to avoid this rask has become a hot spot problem in the field of receaching option pricing.this disquisition studies foreigin exchang option under jump-diffusion models,additionlaly,we disquist interest rate under the Vasicek models.In detail,we have main jobs in this paper as follows:1.Assume that interest rate is without exception nonrandom at home and abroad, by estimating alternation, formula wielding risk neuter fixed price method , getting European foreign currency call-option pricing. To other European foreign currency exchang option, may do same discussion.2.Be assumed that interest rate is random at home and abroad , under a Vasicek model with a effect by a Brown motivition . Wield martingale method, get the price of European foreign currency exchang option under multiple jump-diffusion model with constant parameter.The main contentnence of this paper as follow:Chapter one is a foreword.Introduce that foreign currency call-option definition and the creation and developingpricing of the theory , explaining model and probability space in this paper.Chapter tow is preliminary knowledge , having introduced some relevance Knowledge in stochastic analysis. Chapter three is about the foreign currency exchang option pricing with non-random interest rate under the multiple jump-diffusion model.Chapter four is about the pricing with the interest rate under the Vasicek models.and the price of a foriegin currency exchang is under the multiple jump-diffusion model.Chapter five is about the main conclusion reached in the paper and the problem waiting for studyin a deepgoing way.