【摘要】 文献[1]中讨论了双标的欧式期权的特殊情形,本文讨论一般情形:无风险资产(债券或银行存单)有依赖时间参数的利率rt,两种风险资产(股票)连续支付红利,并且分别有依赖时间参数的期望收益率μ1t,μ2 t,波动率σ1t,σ2 t,红利率q1t,q2 t以及两风险资产瞬时报酬率的相关系数ρt.在此基础上,构造了一类较为复杂的双标的型欧式买权,利用二维Girsanov定理以及鞅方法,得到买权的定价公式与避险参数Delta更多还原

【Abstract】 Special cases of Bivariate European Options were discussed in ref. .In this paper,Bivariate European Options are generalized to the case where the riskless asset （bond or bank account）earns a time-dependent interest rate r_t and the two risk assets （stocks） pay dividends and have time-dependent expected rates of return μ 1t,μ 2t, volatilities σ 1t,σ 2t, dividend yields q 1t,q 2t ,and correlation coefficient ρ_t. Using two-dimensional Girsanov Theorem and matingale method,general pricing formula of a kind of Bivariate European Call Option which is constructed to be more complex is derived, and its hedging parameters △₁,△₂ are given, too.更多还原