[1]吴云,何建敏.多因素型期权定价模型的研究[J].东南大学学报(自然科学版),2002,32(1):143-146.[doi:10.3969/j.issn.1001-0505.2002.01.032]
 Wu Yun,He Jianmin.Study on a multi-factor option pricing model[J].Journal of Southeast University (Natural Science Edition),2002,32(1):143-146.[doi:10.3969/j.issn.1001-0505.2002.01.032]
点击复制

多因素型期权定价模型的研究()
分享到:

《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
32
期数:
2002年第1期
页码:
143-146
栏目:
经济与管理
出版日期:
2002-01-20

文章信息/Info

Title:
Study on a multi-factor option pricing model
作者:
吴云 何建敏
东南大学经济管理学院,南京 210096
Author(s):
Wu Yun He Jianmin
College of Economics and Management, Southeast University, Nanjing 210096, China
关键词:
Black-Scholes期权定价模型 新型期权 多因素型期权定价模型
Keywords:
Black-Scholes option pricing model exotic option multi-factor option pricing model
分类号:
F830.9
DOI:
10.3969/j.issn.1001-0505.2002.01.032
摘要:
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.
Abstract:
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.

参考文献/References:

[1] 茅宁.期权分析——理论与应用[M].南京:南京大学出版社,2000.418-429.
  Mao Ning.Options analysis:theory and its application[M].Nanjing:Nanjing University Press,2000.418-429.(in Chinese)
[2] Hull John C著.期权、期货和其他衍生产品 [M].张陶伟译.北京:华夏出版社,2000.424-425.
  Hull John C.Options,futures,and other derivatives [M].Beijing:Huaxia Press,2000.424-425.(in Chinese)
[3] 门明.金融衍生工具原理与应用 [M].北京:对外经济贸易大学出版社,1999.1-10.
  Men Ming.The theory of financial derivatives and its application [M].Beijing:International Business and Economics University Press,1999.1-10.(in Chinese)
[4] Black F,Scholes M.The pricing of options and corporate liabilities [J].Journal of Political Economy,1973,81(7):637-655.
[5] 钱立.简评期权定价理论的主要发展 [J].经济科学,2000(4):89-97.
  Qian Li.Review of options pricing theory [J].Economics Science,2000(4):89-97.(in Chinese)
[6] 泽夫·司曲斯著.随机微分方程理论与应用 [M].钮晓鸣译.上海:上海科学技术文献出版社,1996.256-287.
  Sijuesi Z.The theory of stochastic differential equation and its application[M].Shanghai:Shanghai Science and Technology Literature Press,1996.256-287.(in Chinese)
[7] Poll Wilmott,Sam Howynne.The Mathematics of Financial Derivatives[M].England:Cambridge University Press,1995.58-67.
[8] Wu Xueping,Zhang Jin E.Options on the minimum and maximum of two average prices [J]. Review of Derivatives Research,1999(3):183-204.
[9] Jackwerch Jens Carsten.Recovering risks aversion from option prices and realized returns [J].The Review of Financial Studies,2000,13(2):433-451.

备注/Memo

备注/Memo:
作者简介: 吴云(1974—), 男, 博士生; 何建敏(联系人), 男, 教授, 博士生导师.
更新日期/Last Update: 2002-01-20