不完全市场期货定价模型

利用最优增长投资组合法（The Optimal Growth Portfolio）解决了连续时间不完全市场下期货合约的定价问题，推导出不完全市场期货定价模型的解析表达式。该表达式具有与完全市场持有成本模型（即现货价格与持有成本之和）相似的结构．表现为现货价格与现货价格同某一价格因子乘积的和，价格因子的正负取决于现货价格的变化。模型实证采用动态模拟方法．所得理论期货价格与实际期货价格拟合度很高。本文用相同的方法和数据对完全市场单因素持有成本期货定价模型进行了检验．结果表明不完全市场期货定价模型比完全市场单因素持有成本期货定价模型更准确。

Modeling for Pricing Futures in Incomplete Markets

In this article, we applied the method of Optimal Growth Portfolio to price futures contracts, and provided a new valuation model for futures contracts based on the incomplete financial markets. The model was tested by financial futures using Dynamic Simulation and the results show that the model functions well in the financial futures contracts. We also tested the well-known cost-of-carry model for comparison by using the same method and data,and the results show that our new model is superior to the cost-of-carry model.