Currency Option Pricing with Stochastic Domestic and Foreign Interest Rates
在利率平价成立且国内外债券价格局部方差仅随时间变化的假设下，构建了随机利率货币期权定价模型，并用交易数据证明该模型比恒定利率模型更准确。
This study develops a currency option pricing model under stochastic interest rates when interest rate parity holds, and it is assumed that domestic and foreign bond prices have local variances that depend only on time. We demonstrate how existing currency option models are simply derived from one framework. Empirical tests employing transactions option data reveal that a particularly simple form of the stochastic rate model is uniformly more accurate than a constant rate model for all boundaries and maturities tested.