金融理论与实践
金融理論與實踐
금융이론여실천
Financial Theory and Practice
2012年
9期
6~10
,共null页
状态价格 无风险利率 风险中性概率 鞅 无套利 贴现
狀態價格 無風險利率 風險中性概率 鞅 無套利 貼現
상태개격 무풍험리솔 풍험중성개솔 앙 무투리 첩현
state price; risk-free rate; risk neutral probability; martingale; no-arbitrage; discount
研究完全市场中有限离散时间情形下的资产定价问题。首先,给出了无风险收益的概念,借助无风险收益定义了一种风险中性概率。基于这个概率,得到了资产的价格等于随机现金流与随机贴现因子乘积的期望,而且资产的价格还等于资产支付关于q的期望对无风险收益的贴现值。其次,借助无风险概率考虑了资产在多期情形下的资产定价,得出了相应的股票期权公式,尤其作为推论给出了欧式看涨期权的定价公式,并对资产价格过程的鞅性作了讨论。
研究完全市場中有限離散時間情形下的資產定價問題。首先,給齣瞭無風險收益的概唸,藉助無風險收益定義瞭一種風險中性概率。基于這箇概率,得到瞭資產的價格等于隨機現金流與隨機貼現因子乘積的期望,而且資產的價格還等于資產支付關于q的期望對無風險收益的貼現值。其次,藉助無風險概率攷慮瞭資產在多期情形下的資產定價,得齣瞭相應的股票期權公式,尤其作為推論給齣瞭歐式看漲期權的定價公式,併對資產價格過程的鞅性作瞭討論。
연구완전시장중유한리산시간정형하적자산정개문제。수선,급출료무풍험수익적개념,차조무풍험수익정의료일충풍험중성개솔。기우저개개솔,득도료자산적개격등우수궤현금류여수궤첩현인자승적적기망,이차자산적개격환등우자산지부관우q적기망대무풍험수익적첩현치。기차,차조무풍험개솔고필료자산재다기정형하적자산정개,득출료상응적고표기권공식,우기작위추론급출료구식간창기권적정개공식,병대자산개격과정적앙성작료토론。
In this paper, we discussed asset pricing of single period model and multi-period model based on the complete market and limited discrete time situations. First, we gave the concept of the risk-free return and defined risk neutral probability by the concept of risk-free return. Based on risk neutral probability, we got the formula of asset rice. Second, by means of the risk neutral probability, we discussed muhiphase asset pricing model, and got the stock pricing equation, particularly we got the European call option equation and discount price of asset price is a martingale about risk neutral proba- bility.
