| 随机波动率模型的等价鞅测度 |
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| 引用本文： | 刘利敏,闫振荣.随机波动率模型的等价鞅测度[J].河南师范大学学报(自然科学版),2006,34(4):24-27,62. |
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| 作者姓名： | 刘利敏 闫振荣 |
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| 作者单位： | 1. 河南师范大学,数学与信息科学学院,河南,新乡,453007
2. 平原大学,基础部,河南,新乡,453003 |
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| 摘 要： | 研究了随机波动率模型的等价鞅测度.利用动态规划方法通过效用无差别定价构造了最小熵鞅测度,并给出了极小鞅测度和方差最优鞅测度,验证了这些鞅测度是不同的.
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| 关 键 词： | 极小鞅测度 方差最优鞅测度 最小熵鞅测度 |
| 文章编号： | 1000-2367（2006）04-0024-04 |
| 收稿时间： | 2005-09-09 |
| 修稿时间： | 2005-09-09 |
The Equivalent Martingale Measures for the Stochastic Volatility Model |
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| LIU Li-min,YAN Zhen-rong.The Equivalent Martingale Measures for the Stochastic Volatility Model[J].Journal of Henan Normal University(Natural Science),2006,34(4):24-27,62. |
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| Authors: | LIU Li-min YAN Zhen-rong |
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| Institution: | 1. College of Mathematics and Information Science, Henan Normal University, Xinxiang 453007, 2. Department of Basic,Pingyuan University,Xinxiang 453003 ,China |
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| Abstract: | This paper deals with the equivalent martingale measures for the stochastic volatility model. Using the dynamic programming approach, the minimal entropy martingale measure is constructed by the utility indifference pricing, the minimal martingale measure and the variance-optimal martingale measures are given. Furthermore, it is shown that these martingale measure are in fact different. |
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| Keywords: | the minimal martingale measure the variance-optimal martingale measure the minimal entropy martingale measure |
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