The Valuation of Multivariate Contingent Claims in Discrete Time Models
推导了离散时间下的风险中性估值关系，用于定价依赖多个随机变量的复杂或有权益，如多期债券、多货币期权债券和投资期权，适用于联合对数正态或正态分布假设。
ABSTRACT There are several examples in the literature of contingent claims whose payoffs depend on the outcomes of two or more stochastic variables. Familiar cases of such claims include options on a portfolio of options, options whose exercise price is stochastic, and options to exchange one asset for another. This paper derives risk neutral valuation relationships (RNVRs) in a discrete time setting that facilitate the pricing of such complex contingent claims in two specific cases: joint lognormally distributed underlying variables and constant proportional risk aversion on the part of investors, and joint normally distributed underlying variables and constant absolute risk aversion preferences, respectively. This methodology is then applied to the valuation of several interesting complex contingent claims such as multiperiod bonds, multicurrency option bonds, and investment options.