非完全市场期权定价的ε-套利方法  

The ε- Arbitrage Approach for Option Pricing in Incomplete Markets

作　　者：刘海龙[1] 吴冲锋[1] 

机构地区：[1]上海交通大学现代金融研究中心,上海200030

出　　处：《预测》2001年第4期17-19,共3页Forecasting

基　　金：国家自然科学基金资助项目 (79970 0 2 7) ;教育部跨世纪优秀人才培养计划基金资助项目

摘　　要：首先基于离散时间给出了ε-套利的概念 ,并讨论了其性质。然后把ε-套利与经典的概率性套利进行了比较 ,指出了它们在本质上的区别与联系以及各自的适用范围。最后通过算例进一步说明经典的套利定价理论从本质上讲只适用于完全的金融市场 ,而ε-套利定价方法既适用于完全金融市场 。Based upon discrete-time models, this paper first pres ents the concepts of the ε- arbitrage, and it's nature are discuss. After t he ε- arbitrage methods compare the traditional arbitrage methods, we point out the differences and connections between the methods and their application a reas. Finally it is shown by examples that the traditional arbitrage pricing the ory is only suitable for complete markets, and the ε- arbitrage option pric ing methods is suitable for both complete markets and incomplete financial marke ts.

关 键 词：期权定价 ε-套利 非完全市场 离散时间 股票 

分 类 号：F830.91[经济管理—金融学]