多因素期权定价模型研究

A Study on Multi-factor Options Pricing Model

介绍了标准期权的Black-Scholes期权定价模型，通过调整Black—Scholes期权定价模型的基本假设条件，使无风险利率和标的资产价格波动率为时间的函数，推导了期权定价模型，并在此基础上推导两因素及多因素型期权定价模型．

The Black-Scholes option pricing model is introduced in this paper. By adjusting the hypotheses of Black - Scholes option pricing model, setting the risk-free and the volatility of the underlying asset price as the functions of time, this paper deduces option pricing model, two-factor option pricing model and multi-factor option pricing model.