多个资产期权的泡沫和Black-Scholes方程  

Bubbles of Multi-asset Options and the Black-Scholes Equation

作　　者：王艳培 刘继春[1] 

机构地区：[1]厦门大学数学科学学院,福建厦门361005

出　　处：《厦门大学学报（自然科学版）》2014年第6期769-773,共5页Journal of Xiamen University：Natural Science

基　　金：国家自然科学基金(11071202);福建省自然科学基金(2008J0207)

摘　　要：在定价测度下,如果标的资产的折现过程是一个严格的局部鞅,则金融市场存在泡沫.在这样市场中,许多期权定价理论中经典结论不再成立,为此,将在多资产情况下研究这类问题.把单个资产期权价格是Black-Scholes方程解的结论推广到了多资产情况.进一步,给出了多资产期权价格泡沫的定义.A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure.In such markets,many standard results from option pricing theory do not hold,and in this paper we address some of these issues under multi-asset.This paper derives that the option price,as given by the stochastic representation,and solves the Black-Scholes equation for the multi-asset options.It is an extension of the result in one asset.Moreover,the definition of bubbles is given for multi-asset options.

关 键 词：泡沫 BLACK-SCHOLES方程 多资产期权 

分 类 号：O211.6[理学—概率论与数理统计]