不完全金融市场中基于最优对冲的衍生资产定价

Derivative Pricing Based on Optimal Hedge in Incomplete Markets

研究了一个不完全的二期金融市场中的衍生资产定价问题,给出衍生资产在二阶矩最小意义下的最优对冲资产组合,证明了该组合的期望收益等于衍生资产的期望收益,并利用其确定了衍生资产的理论价格。当问题退化为普通二叉树模型时,用一般两期模型得到的最优对冲资产组合就是完全复制资产组合,结论与二叉树模型的结论一致。最后给出了计算期权价格的例子。

In this paper we study the derivative pricing in incomplete financial market with two periods. The optimal hedge portfolio is given under the two moment sense. We show that the expected revenue of this portfolio is equal to the expected revenue of the derivatives and determines the theoretical price. An example on option pricing is given to demenstrate our discussions.