不完全市场下基于局部风险最小策略的股票期货定价研究  

Stock futures pricing based on the locally risk-minimizing strategy under incomplete markets

作　　者：张力健[1] 马健[1] 许玥[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《系统工程理论与实践》2008年第7期34-40,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70371006;70521001);教育部新世纪优秀人才支持计划(NCET05184)

摘　　要：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.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.

关 键 词：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 

分 类 号：F830.9[经济管理—金融学]