实际概率测度下一般风险资产的定价模型  

Pricing General Risky Assets under Real Probability Measure

作　　者：冯建芬[1] 陈典发[2] 

机构地区：[1]对外经济贸易大学金融学院,北京100029 [2]南开大学数学科学学院,天津300071

出　　处：《工程数学学报》2006年第6期1024-1030,共7页Chinese Journal of Engineering Mathematics

基　　金：国家自然科学基金(10571132)

摘　　要：本文利用倒向随机微分方程研究了连续时间下基于可交易证券的风险资产定价模型。解决了如何在实际测度及不知无风险利率的情况下对一般(可能不可交易)资产进行定价的问题。与此同时,得到了远期测度与实际测度之间的关系,此关系不依赖于风险中性测度。This paper develops a continuous time model by means of the BSDE methodology, in order to price risky assets in terms of the real probability measure. In following such a pricing approach, the risk-free rate does not need to be known. In addition, the relationship between the forward measure and the real probability measure is established.

关 键 词：风险的市场价格 无套利 倒向微分方程 远期测度 风险中性测度 

分 类 号：O211.63[理学—概率论与数理统计]