论风险中性定价的经济学基础  

Economic Basis of Risk Neural Pricing

作　　者：王德河[1] 

机构地区：[1]首都经济贸易大学金融学院,北京100070

出　　处：《审计与经济研究》2013年第3期99-105,共7页Journal of Audit & Economics

基　　金：北京市教委科研提升计划资助

摘　　要：风险中性定价方法是金融资产定价的重要方法,它是指在对金融资产进行定价时,可以构建一个与实际概率不同的风险中性概率测度,在这一概率测度下金融资产收益的期望值可以得到测度,可以用无风险利率折现求得资产的价格。风险中性概率实质上是在未来情况下用于计算单位支付的相对价值,在这一概率测度下风险资产未来收益的均值得以求出,风险资产未来的收益被匡算成等价的无风险收益。因而,风险资产也就可以像无风险资产那样用无风险利率折现求得其当前的价格。Risk neutral pricing is an important method of financial assets pricing,which means when pricing financial assets,we can construct a risk neutral probability measurement which is different from the actual probability.Its aim is to estimate the expected value of the financial assets under the measurement above and determine the price of the assets with the risk free interest rate discount.In essence,risk neutral probability is a relative value of future position unit payment which calculates the mean value of the future incomes of risk assets.Actually,it roughly calculates the incomes of future assets into an equivalent risk free income.Therefore,risky assets can be calculated to determine its current price with the risk free interest rate discount just like risk free assets.

关 键 词：风险中性定价 金融资产定价 风险相对定价 风险中性概率 风险资产未来收益 无风险利率折现 

分 类 号：F224[经济管理—国民经济] F830