基于鞅和线性规划对偶原理的或有要求权定价方法  

Pricing Method for Contingent Claim Based on Martingale and Linear Programming Dual Principle

作　　者：秦学志[1] 吴冲锋[1] 

机构地区：[1]上海交通大学管理学院,上海200030

出　　处：《控制与决策》2001年第B11期846-848,共3页Control and Decision

基　　金：国家杰出青年基金项目 (70 0 2 5 30 3);教育部跨世纪人才基金项目

摘　　要：采用线性规划对偶原理、鞅测度理论和完全套期保值方法 ,给出了有限证券市场或有要求权的卖方套利价格和买方套利价格的计算方法。分别对允许证券卖空和现金借贷的情况以及不允许证券卖空但允许现金借贷的情况进行研究。分析表明 。A kind of calculation method for the seller′s arbitrage price and the buyer′s arbitrage price of any contingent claim in finite security market is presented by applying linear programming dual principle, martingale measure theory and perfect hedging method. Following two cases are studied: (a) allowing short selling securities and allowing borrowing and lending cash; (b) not allowing short selling securities but allowing borrowing and lending cash. The analyses show that the arbitrage prices can be obtained by solving some corresponding linear programming problems in martingale measure′s spaces.

关 键 词：套利 线性规划 有限证券市场 或有要求权定价 债券 

分 类 号：F830.91[经济管理—金融学]