多阶段因果复合期权定价方法  

The pricing formula of multi-stage causal compound option

作　　者：刘明月[1] 容跃堂[1] 张璐[1] 

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《纺织高校基础科学学报》2012年第2期188-191,共4页Basic Sciences Journal of Textile Universities

摘　　要：根据多阶段风险投资的连续性,假定利率变化遵循连续时间的几何布朗运动,基于动态无套利均衡分析的期权定价方法,建立了有利率影响的多阶段因果复合期权的定价模型.利用求解偏微分方程的理论与方法,得到了此期权定价模型的定价公式.According to the continuity of multi-stage venture capital, assumed the changes in the interest rate follow continuous-time geometric Brownian motion, based on the dynamic-arbitrage free-balanced a- nalysis option＇s pricing, the model of multi-stage causal compound option with the impact of the interest rate is established in this paper. And by using the theory and method of partial differential equations, the option pricing model＇ pricing formula is obtained.

关 键 词：多阶段 因果复合期权 偏微分方程 

分 类 号：O29[理学—应用数学]