多因素型期权定价模型的研究

Study on a multi-factor option pricing model

先介绍了标准期权即Black Scholes单因素期权定价模型及其解析解 ,然后在多个标的变量的情况下 ,通过调整Black Scholes期权定价模型的基本假设条件 ,推导了一种新型期权定价模型———多因素型期权定价模型 ,并结合边界条件 ,给出了基于 2个标的变量的彩虹期权的解析解 ;并对此进行了扩展 ,推导出支付股票红利的多因素型期权定价模型 ,从而解决了多因素条件下的模型描述问题 ;最后给出了一个彩虹期权实例进行分析 ,验证了所得结论的有效性 .

Firstly, the Black Scholes option pricing model, i.e. single factor option pricing model is introduced. With the changes of the hypotheses, a kind of exotic option pricing model - a multi factor option pricing model is then derived, and with the boundary conditions, the analytic solution of a rainbow option based on two underlying variables is given. In addition, the model is extended, and a multi factor option pricing model with the dividend is derived. At last, an example is provided which indicates the validity of the conclusion.