股票价格随机变动的内生性解释及其应用  

Endogenous Explanation for Random Fluctuation of Stock Price and Its Application

作　　者：徐伟呈[1] 李欣鹏[2] 

机构地区：[1]中国海洋大学经济学院,山东青岛266100 [2]山东大学金融研究院,山东济南250100

出　　处：《经济数学》2018年第1期6-10,共5页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(11601281)

摘　　要：建立了一个非对称信息下的重复博弈模型来刻画股票市场中庄家和散户的博弈行为,推导出股票价格的折现过程服从一个由布朗运动驱动的鞅过程,并给出股票价格随机变动的内生性解释:在博弈过程中庄家为了隐藏散户所不知道的信息采用随机化策略来迷惑对手,从而导致股票价格的随机变动.在此基础上,进一步研究了相应的期权定价问题并给出期权定价公式.The players＇ behavior in the stock market can be characterized by the repeated game model with asymmetric information. The discount price process of stock is a martingale driven by Brownian motion, and an endogenous explanation for the random fluctuation of stock price is obtained： the randomizations in the market is due to the randomizations in the strategy of the informed player which hopes to avoid revealing his private information. Based on this price process, the related option pricing problems were also studied and the option formula was given.

关 键 词：期权定价 重复博弈 鞅过程 非对称信息 

分 类 号：F224.32[经济管理—国民经济]