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采用偏微分方程方法研究了彩虹障碍期权的定价问题,推导出它满足的偏微分方程,通过求解这个偏微分方程得出了八种彩虹障碍期权的定价公式及四个看涨——看跌平价公式.
The method of partial differential equation is used to study the pricing problem of rainbow barrier option. The partial differential equation that it satisfies is deduced. By solving this partial differential equation, the pricing formulas of eight rainbow barrier options and four bullish - put parity formulas are obtained.