或有要求权的定价方法及无套利价格区间  

Pricing method and arbitrage-free price interval for contingent claims

作　　者：秦学志[1] 吴冲锋[2] 

机构地区：[1]大连理工大学管理学院,大连116024 [2]上海交通大学管理学院,上海200030

出　　处：《系统工程学报》2003年第2期159-162,176,共5页Journal of Systems Engineering

基　　金：国家杰出青年科学基金资助项目(70025303);国家自然科学基金资助项目(70273020);第30批中国博士后科研基金资助项目.

摘　　要：在多时间段的框架下,采用完全套期保值原理、线性规划对偶原理和鞅理论给出了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、现金借贷和不允许证券卖空、只允许现金借贷的情况进行了研究.相应的套利价格和无套利价格区间可以通过递推求解有限个线性规划问题得到.Under the framework of multiple periods, this paper applies perfect hedging principle, linear programming duality principle and martingale measure theory to determining the seller's arbitrage price and buyer's arbitrage price of contingent claims. Two cases are considered. One is allowing short selling securities and allowing borrowing and lending cash, and the other is not allowing short selling securities but allowing borrowing and lending cash. The arbitrage price and the arbitrage_free price interval of the contingent claim can be obtained by solving some linear programming problems in recursive form.

关 键 词：证券市场 风险债券 或有要求权 定价方法 无套利价格区间 线性规划 套期保值原理 

分 类 号：F830.91[经济管理—金融学]