The Quanto Option’s The Study Of Pricing Under Two-factor HJM Model

In order to meet the changes in the market and the needs of investors,a large number of financial derivatives have gradually poured into the financial market.Among them,financial derivatives represented by options,due to their actual risk management performance,make the design and pricing research of option products in today.Financial mathematics and financial derivatives research have always been attached great importance.Compared with the option pricing under the constant interest rate,the option pricing of the stochastic interest rate model can better simulate and conform to the factors of interest rate changes in the actual financial market,thus it has more advantages and high research value.At the same time,it has important theoretical significance for option products to play the best effect in the actual market and improve the design level of option products.This paper mainly studies the quanto option under the stochastic interest rate model.Given a specific two-factor HJM model and two types of quanto option models,the martingale method is used to study the pricing of the quanto option.The conclusion is that there is no the pricing formula of quanto option under arbitrage conditions.This article combines the martingale method of option pricing with the conversion of pricing units.Under the term structure of interest rates,using the constructed equivalent martingale measure and the equivalent conversion of the corresponding conditions.We finally get Pricing formulas for two types of quanto option under certain conditions.Certain preparations have been made for the pricing research of quanto option under the multi-factor HJM model,so that they can be applied in financial risk management.