一类连续时间的不完全金融市场中未定权益的定价

The Pricing of Contingent Claims in Continuous Time Incomplete Financial Markets

利用ElKaroui和Quenez建立的上鞅的可选分解定理讨论了一类连续时间的不完全金融市场中未定权益的定价,给出了其买方及卖方价格过程(定理2和定理3)。

Making use of the decomposition theorem of supermartingale established by El Karoui and Quenez,we develop the theory of pricing contingent claims for a class of continuous time incomplete financial markets,and give selling and purchase price processes(Theorem 2 and 3).In particular,we give another reasonable intepretation for selling and purchase price.