An equilibrium approach to pricing foreign currency options
提出修正的Garman-Kohlhagen公式，通过均衡方法内生决定国内外利率及其动态，为欧式货币期权定价提供新的波动率刻画，并数值分析美式期权定价与最优执行策略。
The paper presents a modified version of the Garman‐Kohlhagen formula for pricing European currency options. The equilibrium approach deviates from the no‐arbitrage approach by allowing domestic and foreign interest rates and their dynamics to be determined endogenously in the model. By using the relations between exchange rate dynamics and the dynamics of interest rates, I provide a new characterisation of the relevant volatilities for European currency option pricing, which only depends on parameters describing the variability of the log‐exchange rate. The implications of the model for the valuation of American currency options and optimal exercise strategies are examined by applying numerical methods.