英文标题：
《FX Options in Target Zone》
---
作者：
Peter Carr and Zura Kakushadze
---
最新提交年份：
2016
---
英文摘要：
In this note we discuss - in what is intended to be a pedagogical fashion - FX option pricing in target zones with attainable boundaries. The boundaries must be reflecting. The no-arbitrage requirement implies that the differential (foreign minus domestic) short-rate is not deterministic. When the band is narrow, we can pick the functional form of the FX rate process based on computational convenience. With a thoughtful choice, the FX option pricing problem can be solved analytically. The European option prices are expressed via (fast converging) series of elementary functions. We discuss the general approach to solving the pricing PDE and explicit examples, including analytically tractable models with (non-Ornstein-Uhlenbeck) mean-reversion.
---
中文摘要：
在本说明中，我们将以一种教学方式讨论具有可达到边界的目标区域的外汇期权定价。边界必须反映出来。无套利要求意味着差额（国外减去国内）短期利率是不确定的。当区间较窄时，我们可以根据计算的便利性选择汇率过程的函数形式。经过深思熟虑的选择，外汇期权定价问题可以解析地解决。欧式期权价格通过（快速收敛）初等函数级数表示。我们讨论了求解定价偏微分方程的一般方法和显式示例，包括具有（非Ornstein-Uhlenbeck）均值回归的分析可处理模型。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->