| 不确定环境下彩虹期权定价 |
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| 引用本文： | 徐建强,彭锦.不确定环境下彩虹期权定价[J].黄冈师范学院学报,2010,30(3):18-22. |
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| 作者姓名： | 徐建强 彭锦 |
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| 作者单位： | 上海师范大学数理学院,上海,200234 |
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| 基金项目： | 国家自然科学基金项目，湖北省教育厅重大科研项目 |
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| 摘 要： | 期权定价问题是现代金融中最基本的问题之一.在以往的期权理论中,主要在随机环境下处理期权定价问题.本文尝试运用不确定理论去处理一类特殊的多资产欧式期权—彩虹期权的定价问题.
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| 关 键 词： | 不确定理论 经典过程 期权定价 多资产欧式期权 彩虹期权 |
Rainbow options pricing in uncertain environment |
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| XU Jian-qiang,PENG Jin.Rainbow options pricing in uncertain environment[J].Journal of Huanggang Normal University,2010,30(3):18-22. |
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| Authors: | XU Jian-qiang PENG Jin |
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| Institution: | (Mathematics and Science College,Shanghai Normal University,Shanghai 200234) |
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| Abstract: | The problem of option pricing is one of the most foundational problems in modern financial market. In previous option pricing theory,the problems of option pricing were handled under stochastic environment. In this paper,we will try to get the pricing expression of rainbow options（a sort of multi-asset European options） by using uncertainty theory. |
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| Keywords: | Uncertainty theory Canonical process Option pricing Multi-asset European options Rainbow options |
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