最小对称熵鞅测度和不完备市场中的定价问题  

The Minimal Symmetric Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

作　　者：汤思英[1] 刘继春[1] 杜立金[1] 

机构地区：[1]厦门大学数学科学学院,福建厦门361005

出　　处：《厦门大学学报（自然科学版）》2004年第4期465-468,共4页Journal of Xiamen University：Natural Science

基　　金：厦门大学校级自选课题基金(0020Y07008)资助

摘　　要：在等价鞅测度集Me≠的条件下,文章给出了最小对称熵鞅测度的概念.利用这一新的准则,确定了鞅测度,提供了存在惟一最小对称熵鞅测度的充分条件.进一步,刻画了最小对称熵鞅测度密度的特征.最后,在不完备市场的条件下,讨论了对称熵最小化和效用函数最大化的等价性.Under the assumption that the setM_e≠ of equivalent martingale measures,the concept of the minimal symmetric entropy martingale measure(MSEM) was brought out.Then by the new rule, a martingale measure was found, and sufficient conditions for the existence of a unique equivalent martingale measure that minimizes the symmetric entropy was given. Moreover, the characterization of the density of the minimal symmetric entropy martingale was provided.Finally, the equivalence between the minimization of the symmetric entropy and the maximization of the utility function was discussed.

关 键 词：等价鞅测度 最小对称熵鞅测度 不完备市场 定价 效用函数 概率空间 

分 类 号：F830.9[经济管理—金融学] F224.7