Some Research Results On Multi-asset Option Pricing

The option pricing problem is one of the important research topics in the field of financial economics. The Black-Scholes model has provided the way for people to study this issue. Over the years, many economic scholars and researchers has worked deeply on this problem, but most of them focus on the option with single asset. Therefore, this article will consider the pricing of multi-asset option under different conditions. There are two major research objectives in the text: First,the pricing of multi-asset exotic options; second, the credit risk pricing of multi-asset options. The major work in the text as follows : the research objectives involve two kinds of multi-asset cases, including that of many different assets and of different point-in-time asset price , with which the method of product and discrete geometric average are used to deal;We can obtain the pricing forculas of Multi-asset external obstacles call option and floating strike lookback call option ,also that of multi-asset Russian option in the first kind of asset situation; meanwhile,the credit risk pricing of multi-asset options,whether with uncertainty liabilities or not ,can be accessed.