基于鞅测度的流动性风险溢价的测算

The Quantification of Liquidity Risk Premium Based on Martingale Measure

研究了在一般市场条件下流动性风险的定价问题.首先借助金融数学和金融工程的无套利思想在鞅测度下对市场风险和流动性风险进行定价,通过等价测度变换,使可交易资产的贴现价值过程转化为鞅过程,得到了市场风险和流动性风险的市场价格,进而给出了流动性风险溢价的计算公式.得到的风险的市场价格在同一市场中对于所有可交易资产都是相同的,并且这一价格对于所有投资者也都是相同的,不会因投资者的风险厌恶水平的不同而不同.

this paper mainly studies the pricing of liquidity risk under normal market condition.By employing the no-arbitrage idea of financial calculus and finance engineering, the paper discusses the pricing of market risk and liquidity risk under martingale measure, and obtains two separate market prices of risk for all tradable assets via the change of equivalent measure to make discounted assets martingales,then,proposes the pricing formula of liquidity risk premium.The market prices of risk obtained in the same market for all tradable assets and for all of the investors are the same,not varying with the level of risk aversion of investors.