信息不对称下带有“随机压力”定价规则的连续时间模型  

Pricing Rules of Stochastic Pressure Under Asymmetric Information in a Continuous Time Market

作　　者：浦江燕 张伏[1] 

机构地区：[1]复旦大学数学科学学院,上海200433 [2]上海金融学院国际金融学院,上海201209

出　　处：《数学年刊（A辑）》2014年第1期115-128,共14页Chinese Annals of Mathematics

摘　　要：本文是对Back(1992)和Cho(2003)关于内部交易模型的拓展.在金融市场中一共有3类人:内部交易者,不知情交易者和做市商.考虑一类比Cho研究的模型更广的定价规则.主要用动态规划的方法,证明了当内部交易者是风险中性时,定价规则中"随机压力"消失,均衡价格还是仅依赖市场上累计交易量.相应地,本文的结论推广了Back和Cho在经典模型中的结论.This paper deals with the insider trading model of Back （1992） and Cho （2003）, where the market consists of an insider, noise traders and competitive market makers who set price. The authors investigate a larger class of price processes than what Cho has considered. The authors show that when the insider is risk-neutral, the ＂stochastic pressure＂ of pricing rule in equilibrium disappears, and the price still depends only on the cumulative market order. As a corollary, the equilibrium result of Back and Cho is extended.

关 键 词：内部交易 随机最优控制 均衡理论 连续时间金融 

分 类 号：F830.9[经济管理—金融学] O232[理学—运筹学与控制论]