# [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： var jiathis_config = { data_track_clickback: true };

32

2002年第1期

143-146

2002-01-20

## 文章信息/Info

Title:
Study on a multi-factor option pricing model

Author(s):
College of Economics and Management, Southeast University, Nanjing 210096, China

Keywords:

F830.9
DOI:
10.3969/j.issn.1001-0505.2002.01.032

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:

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