基于期权理论的多元相机决策权利定价模型

期权理论可以很好地对投资和筹资中的相机决策权利进行定价，格型法则是研究复杂期权定价问题最常用的数值方法之一，文章在期权理论的基础上，根据风险中性原则，通过确定合理的涨跌幅度和涨跌概率，建立了评价多元相机决策权利价格的多维格型模型，并保证了模型的一致性和稳定性。最后，通过数值评价验证了模型的计算有效性。

Multivariate contingent claims pricing model based on option theory

The option theory is adequate and efficient for pricing the contingent claims in flexibility investment and financing. The lattice approach is one of the most popular numerical methods to value complex options. Base on the option theory, this paper chooses reasonable jump sizes and jump probabilities relying on the risk neutral pricing rule. Then a multivariate lattice model for pricing of multivariate contingent claims is proposed. The valuation procedure is consistent and unconditionally stable. In the end, the numerical valuation shows that the multivariate contingent claims pricing model is computationally efficient.