摘要
针对卖空限制的情形给出了投资者风险中性偏好下期权价格的一个表达式,这个价格是买卖双方能够达成一致的惟一价格.推导的关键是在卖空限制下把绝对风险厌恶度为任一常值γ的投资者的期权动态定价方程表示成一种易于分析极限γ→0或者γ→∞的形式.
The option pricing formula for a risk-neutral investor in the case of short-selling constraint, which is the only price that both the writer and the buyer would accept, is obtained. The key is to rewrite the dynamic pricing equation for risk-averse investors with any constant absolute risk averse measure to a form which is easy for the analysis of the limit with γ→0or→-∞.
出处
《复旦学报（自然科学版）》
CAS
CSCD
北大核心
2010年第4期468-474,共7页
Journal of Fudan University：Natural Science
基金
国家自然科学基金资助项目(10325101)
国家重点基础研究发展计划(973计划)资助项目(2007CB814904)
关键词
效用最大化
卖空限制
期权定价
动态定价方程
utility maximization
short selling constraint
option pricing
dynamic pricing equation
