系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2008年
7期
34~40
,共null页
离散时间不完全市场 局部风险最小策略 极小鞅测度 股票期货定价 实证研究
離散時間不完全市場 跼部風險最小策略 極小鞅測度 股票期貨定價 實證研究
리산시간불완전시장 국부풍험최소책략 겁소앙측도 고표기화정개 실증연구
discrete-time incomplete markets; locally risk'minimal strategy; minimal martingale measure; stock futures pricing; empirical study
在具体的离散时间不完全市场模型下给出了极小鞅测度的刻划,并以此推导股票期货的无套利定价模型,随后,通过实证对推导出的定价模型加以检验,其结果表明:新定价模型能够较好的对样本期货价格进行拟合,且在与持有成本理论的单因素期货定价模型的比较中,新模型在价格预测的稳定性和精确度上都表现出了一定程度的优势。
在具體的離散時間不完全市場模型下給齣瞭極小鞅測度的刻劃,併以此推導股票期貨的無套利定價模型,隨後,通過實證對推導齣的定價模型加以檢驗,其結果錶明:新定價模型能夠較好的對樣本期貨價格進行擬閤,且在與持有成本理論的單因素期貨定價模型的比較中,新模型在價格預測的穩定性和精確度上都錶現齣瞭一定程度的優勢。
재구체적리산시간불완전시장모형하급출료겁소앙측도적각화,병이차추도고표기화적무투리정개모형,수후,통과실증대추도출적정개모형가이검험,기결과표명:신정개모형능구교호적대양본기화개격진행의합,차재여지유성본이론적단인소기화정개모형적비교중,신모형재개격예측적은정성화정학도상도표현출료일정정도적우세。
In a concrete discrete-time incomplete market model, the minimal martingale measure is characterized. Under the martingale measure, the arbitrage-free pricing model of stock futures is derived. Then to investigate the model' s efficiency, an empirical study is done. The empirical result shows that the prices predicted by new model can fit the sample's actual prices well, and compared to the one-factor model from Cost-of-carry theory, the new model presents predictions for stock futures' prices with better reliability and precision.