摘要
现实生活中,期权的标的资产常与某些因素存在一定的联系,而这些因素势必影响到期权的定价.例如,各种信用风险证券的定价就属于这类问题.因此,在处理期权的定价问题时就必须将这些因素考虑进去.本文利用风险中性定价方法(即鞅文法),比较系数法以及线性代数中的某些相关性质,讨论并推导出标的资产受多因素影响的买入期权的定价公式.
In real life, the underling assets of option often subject to many factors. These factors will affect the pricing of option, such as, the pricing of many kinds of credit risk securities. Therefore, these factors must be taken into account when we are dealing with the problem of pricing. In the paper, by using some theorems of risk neutral pricing (martingale method), comparison of coefficients and linear algebra, we will discuss the pricing formula of buying option which underling assets subject to many factors.
出处
《数学研究》
CSCD
2007年第3期325-331,共7页
Journal of Mathematical Study
基金
福建省自然科学基金项目(2006J0225)
关键词
影响因素
买入期权
比较系数
定价公式
factors call options comparison of coefficients Pricing formula