线性风险容忍度效用下线性跳跃扩散过程的零息债券均衡定价  

Equilibrium pricing for zero coupon bond when the representative's utility shows linear risk tolerance under the linear jump diffusion processes

作　　者：蒋贤锋[1,2] 齐飞[3] 

机构地区：[1]东北财经大学应用金融研究中心,大连116025 [2]人民银行金融研究所博士后流动站,北京100800 [3]中国注册会计师协会标准部,北京100081

出　　处：《系统工程理论与实践》2009年第1期29-36,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70801010;70671019);中国博士后科学基金(20080430058);中国博士后科学基金首批特别资助(200801140)

摘　　要：同时考虑到效用函数和禀赋价格动态过程的多样性,给出了代表性经济人具有线性风险容忍度效用并且禀赋遵循线性跳跃扩散过程时零息债券均衡价格的显示表达式,探讨了其收益率为常数的条件及禀赋过程满足均衡要求的条件.The forms of representative＇s utility function and the dynamics of price of endowment are two basic aspects in equilibrium pricing. It will lead to non-robust conclusion if either of these aspects in not considered completkly. Give the explicit formulas for the equilibrium price of the zero coupon bond when the representative＇s utility shows linear risk tolerance under the linear jump diffusion processes, incorporating both the diversities of the forms of utility functions and the dynamics of price of endowment. The conditions are solved for the constant yield to maturity for the zero coupon bond. And the equilibrium conditions are also found for the endowment.

关 键 词：线性风险容忍度 线性跳跃扩散 零息债券 均衡定价 

分 类 号：F830[经济管理—金融学]