无投机假设思想及其应用

No-speculation Hypothesis and It's Application

提出了无投机假设思想并用数理公式加以表述,运用这个假设思想可以巧妙地避开构建复杂的套利组合,来完成对期货合约定价公式、0现值公式及期货合约价值公式的证明。不仅如此,无投机假设思想还可以拓展到浮动利率债券价格和不支付红利股票的看涨期权或看跌期权的期权费的确定,通过具体实例详细叙述了无投机假设思想在这些领域中的应用。最后总结出无投机假设思想可以不利用无套利假设均衡理论,从一个新的角度论证浮动利率债券价格和上述衍生证券的价格公式。

This paper puts forward no-speculation hypothesis and formulates it.Taking advantage of this hypothesis can skillfully prove zero present value and futures price formula, and avoids complex arbitrage combination. Besides, the hypothesis can also be generalized to ascertain the floating rate bonds price and no-bonus stock option price.The material examples in this paper show the use of the hypothesis in the domains. At last, it concludes that no-speculation hypothesis demonstrates floating rate bonds price and the above security price formulars in a new way.