| 离散时间不完全市场下基于计价单位投资组合法的期货定价模型 |
| |
| 引用本文： | 张力健,刘志新,马健,许玥. 离散时间不完全市场下基于计价单位投资组合法的期货定价模型[J]. 系统工程, 2007, 25(9): 10-15 |
| |
| 作者姓名： | 张力健 刘志新 马健 许玥 |
| |
| 作者单位： | 北京航空航天大学,经济管理学院,北京,100083 |
| |
| 基金项目： | 国家自然科学基金;教育部跨世纪优秀人才培养计划 |
| |
| 摘 要： | 在具体的离散时间不完全市场模型中给出最优增长组合的刻画后，运用计价单位投资组合法推导出期货的无套利定价模型。随后对定价模型进行实证检验，结果表明，对于实证选取的股票期货样本，该定价模型给出的预测价格能够较好地拟合样本的实际价格，且其精度较持有成本理论单因素模型的略有提高。
|
| 关 键 词： | 离散时间不完全市场 计价单位投资组合 未定权益定价 期货定价 实证研究 |
| 文章编号： | 1001-4098（2007）09-0010-05 |
| 修稿时间： | 2007-03-21 |
Futures Pricing Based on the Method of Numeraire Portfolio in Discrete-time Incomplete Financial Markets |
| |
| ZHANG Li-jian,LIU Zhi-xin,MA Jian,XU Yue. Futures Pricing Based on the Method of Numeraire Portfolio in Discrete-time Incomplete Financial Markets[J]. Systems Engineering, 2007, 25(9): 10-15 |
| |
| Authors: | ZHANG Li-jian LIU Zhi-xin MA Jian XU Yue |
| |
| Affiliation: | School of Economics and Management, Beihang University, Beijing 100083,China |
| |
| Abstract: | After characterize the optimal-growth portfolio in a specified discrete-time incomplete market, we derive the futures pricing model by using the method of numeraire portfolio. Then an empirical study is made to test the efficiency of the new pricing model. The empirical result shows, the prices predicted by the new pricing model can fit the actual prices of the sample futures well, and the precision of its prediction is also in a quite high level. |
| |
| Keywords: | Discrete-time Incomplete Market ~Numeraire Portfolio Pricing of Uncertain Options Futures Pricing Empirical Study |
| 本文献已被 维普 万方数据 等数据库收录！ |
