【摘要】 本文提出具有变系数和红利的多维 Black-Scholes模型 ,利用倒向随机微分方程和鞅方法 ,得到欧式未定权益的一般定价公式及套期保值策略 .在具体金融市场 ,给出欧式期权的定价公式和套期保值策略 ,以及美式看涨期权价格的界 .更多还原

【Abstract】 For discussing the arbitrage free pricing of European contingent claim, this paper proposes multi dimensional Black Scholes model with non constant coefficients and the underlying stocks pay dividends. By means of backward stochastic different equation and martingale methods, we obtain general pricing formula and hedging strategy of European contingent claim. In the particular financial market, the pricing formula and hedging strategy of European option and bounds of the price on American call option are also considered.更多还原