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	多个资产期权的泡沫和Black-Scholes方程; Bubbles of Multi-asset Options and the Black-Scholes Equation
	王艳培 ; 刘继春
	2014-11-28
关键词	泡沫 Black-Scholes方程 多资产期权 bubbles Black-Scholes equation multi-asset options
英文摘要	在定价测度下,如果标的资产的折现过程是一个严格的局部鞅,则金融市场存在泡沫.在这样市场中,许多期权定价理论中经典结论不再成立,为此,将在多资产情况下研究这类问题.把单个资产期权价格是blACk-SCHOlES方程解的结论推广到了多资产情况.进一步,给出了多资产期权价格泡沫的定义.; A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure.In such markets,many standard results from option pricing theory do not hold,and in this paper we address some of these issues under multi-asset.This paper derives that the option price,as given by the stochastic representation,and solves the Black-Scholes equation for the multi-asset options.It is an extension of the result in one asset.Moreover,the definition of bubbles is given for multi-asset options.; 国家自然科学基金(11071202); 福建省自然科学基金(2008J0207)
语种	zh_CN
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/119886]
专题	数学科学－已发表论文
推荐引用方式 GB/T 7714	王艳培,刘继春. 多个资产期权的泡沫和Black-Scholes方程, Bubbles of Multi-asset Options and the Black-Scholes Equation[J],2014.
APA	王艳培,&刘继春.(2014).多个资产期权的泡沫和Black-Scholes方程..
MLA	王艳培,et al."多个资产期权的泡沫和Black-Scholes方程".(2014).

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