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TIAN Rong; CHAI Jun, . Applications of Equivalent Martingale Measures Model in Pricing Option on Foreign Currency[J]. Journal of East China Normal University (Natural Sciences), 2003, (2): 27-31.
Citation:
TIAN Rong; CHAI Jun, . Applications of Equivalent Martingale Measures Model in Pricing Option on Foreign Currency[J]. Journal of East China Normal University (Natural Sciences), 2003, (2): 27-31.
TIAN Rong; CHAI Jun, . Applications of Equivalent Martingale Measures Model in Pricing Option on Foreign Currency[J]. Journal of East China Normal University (Natural Sciences), 2003, (2): 27-31.
Citation:
TIAN Rong; CHAI Jun, . Applications of Equivalent Martingale Measures Model in Pricing Option on Foreign Currency[J]. Journal of East China Normal University (Natural Sciences), 2003, (2): 27-31.
Under stochastic interest, by using of equivalent martingale measures model, we discuss single-factor model and two-factor model respectively, and obtain pricing formula of European option on foreign currency.