Guaranteed Stock Index Futures Option Pricing In Dual Currency Model

This paper mainly studies stock index futures option and stock index futuresguarantee option pricing problems in dual currency model.In this paper, we use martingale method of option pricing. Unlike single curren-cy model, we add exchange rate factor to option pricing problems in dual currencymodel, and assume that exchange rate is also a geometric Brownian motion.Firstly we fnd a probability measure which is equivalent to the market measure,and make discount price process of S&P500index futures option RMB price is amartingale under the measure. Then we calculate the income at maturity date ofoption.Finally we get the option price, namely expectation of income discounted valueunder the measure by using fundamental theorem of asset pricing under the Black-Scholes framework.The fnal result of this article has strong practicability. When apply it inpractical, we only need to substitute related parameters for option pricing. At thesame time, option pricing method which is used in this paper in dual currency modelcan be widely applied to various double currency derivatives pricing research, andhas a certain theoretical value.