不完全市场下基于局部风险最小策略的股票期货定价研究

Stock futures pricing based on the locally risk-minimizing strategy under incomplete markets

在具体的离散时间不完全市场模型下给出了极小鞅测度的刻划,并以此推导股票期货的无套利定价模型.随后,通过实证对推导出的定价模型加以检验,其结果表明:新定价模型能够较好的对样本期货价格进行拟合,且在与持有成本理论的单因素期货定价模型的比较中,新模型在价格预测的稳定性和精确度上都表现出了一定程度的优势.

In a concrete discrete-time incomplete market model, the minimal martingale measure is characterized. Under the martingale measure, the arbitrage-free pricing model of stock futures is derived. Then to investigate the model＇ s efficiency, an empirical study is done. The empirical result shows that the prices predicted by new model can fit the sample＇s actual prices well, and compared to the one-factor model from Cost-of-carry theory, the new model presents predictions for stock futures＇ prices with better reliability and precision.