The Pricing Of Commodity Swaps And Commodity Swap Options In Dual Currency Model

Firstly,under the condition of no arbitrage in the market,this paper studies the pricing of commodity swap options in dual currency model respectively under the condition of fixed interest rate and fixed exchange rate,fixed interest rate and random exchange rate and random interest rate and random exchange rate.Thereinto,the interest rates in the last condition satisfies Hull-White interest rate model.With the Girsanov theorem and no arbitrage principle,the pricing of commodity swap options in dual currency model are studied in the paper respectively under the condition of fixed interest rate and fixed exchange rate,the condition of fixed interest rate and random exchange rate and the condition of random interest rate and random exchange rate.Secondly,according to the relationship between commodity swap and commodity swap options,and classification of options in dual currency model,this paper studies the pricing of commodity swap options of four kinds of dual currency model.Under the condition of no arbitrage,use martingale approach to find an equivalent martingale measure by Girsanov theorem,so that the discounted assets is also a martingale process in dual currency.Then we use the basic principles of asset pricing to calculate the discounted price of an undetermined interest.