不确定环境下彩虹期权价格上下界的估计

Upper and Lower Bounds on Rainbow Option Prices under Uncertainty

彩虹期权作为一种多种资产的欧式期权,在金融市场上深受广大投资者的喜爱。该文基于倒向随机微分方程(BSDE)的理论,建立Knight不确定环境下多资产彩虹期权的动态定价上下界模型,并借助等价概率鞅测度求出模型的显式解,给出彩虹期价格的上下界区间,最后给出一个例子分析表明Knight不确定存在的重要性。

Rainbow option as a multi-asset European option,is loved by the majority of investors in financial markets.Based on the theory of backward stochastic differential equation（BSDE）,we build the supper and lower bounds model of rainbow option dynamic prices under Knight uncertainty,obtain the explicit solution of the model with the equivalent probability martingale measure,and get the interval of the upper and lower bounds on the rainbow option prices.Finally,it is important for the presence of Knight uncertainty through an example analysis.