无套利期权定价模型在一般均衡框架下的一致性研究

ON THE CONSISTENCY OF OPTION PRICING MODEL BASED ON NO-ARBITRAGE ANALYSIS WITH A GENERAL EQUILIBRIUM FRAMEWORK

期权定价有无套利方法和一般均衡方法两种.本文在一般均衡框架下构造了一个允许连续消费的简单经济模型,并将基于无套利方法的期权定价模型中所假定的标的证券的价格变化动态过程内生化于理性预期均衡中.在常数相对风险厌恶(CRRA)的效用函数的条件下,我们推导出Merton(1973)期权定价公式,从而证明无套利方法与均衡方法的内在一致性,而CRRA这种类型的效用函数是无套利定价模型在一般均衡框架中成立的充分条件.本文进一步将此模型在一个简单经济中扩展到m种证券的情况,也得到相似的结论.

There are two methods on option pricing, no-arbitrage and equilibrium analysis. We construct a simple economy with continuous consumption, in which we ＂endogenize＂ the stochastic process of prices in the option pricing model based on no-arbitrage analysis. With constant relative risk aversion type utility function assumption, we present Merton（1973） option pricing model and find the consistency of the model with a general equilibrium framework. We extend the model to the market with m securities and it turns out similar results.