非完全市场衍生资产定价方法研究  

The Interval Pricing Method of Derivative Assets in Incomplete Markets

作　　者：刘海龙[1] 孙国忠[1] 

机构地区：[1]沈阳大学工商管理学院,辽宁沈阳110041

出　　处：《沈阳大学学报》2001年第3期3-8,共6页

摘　　要：利用单期金融市场模型研究了非完全市场衍生资产定价问题。首先介绍了经典的无套利定价方法 ,指出了这种方法只适用于完全的金融市场的局限性。然后把无套利定价思想推广到了非完全市场 ,提出了衍生资产的ε -套利定价方法和区间定价方法。最后通过算例进一步说明经典的套利定价方法是区间定价法和ε-套利定价方法的特殊情况 ,区间定价方法和ε -套利定价方法是经典的套利定价方法的推广 ,既适用于完全金融市场 ,又适用于非完全的金融市场。This paper studies the pricing problem of derivatives in incomplete markets with a single period financial market model.First the traditional non-arbitrage pricing method is introduced,and it is pointed out that the method is only restricted to complete markets.Then the idea of non-arbitrage pricing is generalized into incomplete markets,and the ε-arbitrage pricing methods and the interval pricing methods of derivatives is obtained.Finally it is shown by examples that the traditional non-arbitrage pricing method is a special case of the interval pricing method and the ε-arbitrage pricing methods,and the latter two methods that works in both complete and incomplete markets is a generalization of the former one. 〔

关 键 词：衍生资产 区间定价 非完全市场 单期金融市场模型 定价方法 金融市场 经典套利方法 

分 类 号：F830.9[经济管理—金融学]