Equilibrium Valuation of Foreign Exchange Claims
在连续时间两国一般均衡模型中，内生决定汇率、利率和风险价格，推导出货币期权和货币期货期权的闭式估值公式，并允许随机波动率和随机利率，为外汇衍生品定价提供了一致性框架。
ABSTRACT This article studies the equilibrium valuation of foreign exchange contingent claims. Within a continuous‐time Lucas (1982) two‐country model, exchange rates, interest rates and, in particular, factor risk prices are all endogenously and jointly determined. This guarantees the internal consistency of these price processes with a general equilibrium. In the same model, closed‐form valuation formulas are presented for currency options and currency futures options. Common to these formulas is that stochastic volatility and stochastic interest rates are admitted. Hedge ratios and other comparative statics are also provided analytically. It is shown that most existing currency option models are included as special cases.