多因素型期权定价模型的研究

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－－多因素型期权价模型，并结合边界条件，给出了基于2个标的变量的采虹期权的解析解，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。

Study on a multi-factor option pricing model

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.