在欧式期权的基础上,采用最大熵方法,求得无偏差的概率分布,对组合期权进行定价与求解.在此过程中,应用自融资无套利市场原理作为变化的基础,在无风险资产同时存在的条件下,通过惩罚函数法及BFGS算法的综合应用进行价格求解,使组合期权定价方法更为准确.%On the basis of the European option,combined option pricing can be measured and solved by a series of probability distribution which can be produced by the maximum entropy method.Regarding the theory of the self-financing and no-arbitrage as the basis of changing,the combined option pricing can be made in the condition of risk-free assets by the methods of penalty function and BFGS algorithm,which makes the method of combined option pricing can be settled accurately.
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