| 等价鞅测度选择问题的注记 |
| |
| 引用本文： | 张曙光. 等价鞅测度选择问题的注记[J]. 中国科学技术大学学报, 1998, 28(5): 519-525 |
| |
| 作者姓名： | 张曙光 |
| |
| 作者单位： | 中国科学技术大学统计与金融系 |
| |
| 摘 要： | 本文研究了定价理论中的等价测度的选择问题,提出了按相对熵极小化作为一种新的选择标准。所得结论推广了已有的定价理论,尤适用于最小鞅测度不存在的情形。
|
| 关 键 词： | 等价鞅测度 相对熵 最优增长 |
A Note on the Selection of Equivalent Martingale Measure |
| |
| Zhang Shuguang. A Note on the Selection of Equivalent Martingale Measure[J]. Journal of University of Science and Technology of China, 1998, 28(5): 519-525 |
| |
| Authors: | Zhang Shuguang |
| |
| Affiliation: | Dept. of Statistics and finance of USTC |
| |
| Abstract: | In this paper, an incomplete financial market with discontinuous assets price process is studied. Instead of the minimal martingale measure, which can only exist in a special case, a new reference probability measure is given, and is shown to be best in relative entropy minimization senses. |
| |
| Keywords: | Equivalent martingale measure Relative entropy Optimal growth portfolio |
| 本文献已被 CNKI 维普 等数据库收录！ |
