The Pricing Of Quanto Options Under The Domestic Strike Price Rate System With Delayed Response

The innovation of financial derivative products and risk control are important in financial mathematics.And Quanto option is just the kind of option that is designed for investors to purchase foreign securities in the country or region.How to price Quanto option reasonably is very important.First,in this paper we use econometric methods to do an empirical research for exchange rate model.Then,we study quanto options pricing problems with time-delays under the fixed exchange rate system by using non-arbitrage hedging principle,equivalent martingale pricing theory.With the globalization of China’s economic and with opening up of financial markets,the investment and risk hedging are complex for financial derivative products,so the researches of this article have important theoretical and practical values.In this paper,we mainly discussed as follows:1.Using the annual,monthly and daily data and econometric methods,the RMB against the U.S dollar exchange rate models are studied by empirical mothed.This work establishes an important foundation about the further researching of the dual currency option pricing problems under fixed exchange rate system.2.On the basis of obtaining the RMB against the U.S dollar exchange rate model,under Arriojas and other scholars’ research framework,in the underlying asset pricing with delays,using Girsanov theorem,martingale representation theorem,risk neutral valuation principle and no-arbitrage property,Quanto options pricing formula are gained under a fixed exchange rate system.Then this article comparative statics are discussed and some meaningful conclusions are got.In today’s world,international financial markets are more and more opening up,under a fixed exchange rate system and the stock price with time-delays,the researches of quanto option pricing are important in practice and theory.