离散时间模型的幂效用无差别定价  

Indifference Pricing of Power Utility Function Under Discrete-time Model

作　　者：刘利敏[1] 耿磊[1] 王小攀[1] 

机构地区：[1]河南师范大学数学与信息科学学院,河南新乡453007

出　　处：《河南师范大学学报（自然科学版）》2012年第1期11-15,共5页Journal of Henan Normal University(Natural Science Edition)

基　　金：国家自然科学基金(11001077);河南省教育厅软科学基金(2009A630026)

摘　　要：研究了离散时间模型的幂效用函数无差别定价问题.利用鞅方法证明了完全市场的幂效用函数无差别定价为无套利定价,讨论了不完全市场中幂效用函数无差别定价计算的关键问题,并得到了单阶段三叉树模型的幂效用函数的无差别定价满足的方程.This paper deals with the indifference pricing of power utility function under discrete-time model.It is shown that the indifference pricing is free-arbitrage pricing by the martingale approach.The main thing about the power utility function indifference pricing is considered in the incomplete market,and the equation satisfying the power utility function indifference pricing is obtained under single stage trinomial tree model.

关 键 词：幂效用函数 无差别定价 鞅测度 条件期望 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]