摘要
利用单期金融市场模型研究了非完全市场衍生资产定价问题。首先介绍了经典的无套利定价方法 ,指出了这种方法只适用于完全的金融市场的局限性。然后把无套利定价思想推广到了非完全市场 ,提出了衍生资产的ε -套利定价方法和区间定价方法。最后通过算例进一步说明经典的套利定价方法是区间定价法和ε-套利定价方法的特殊情况 ,区间定价方法和ε -套利定价方法是经典的套利定价方法的推广 ,既适用于完全金融市场 ,又适用于非完全的金融市场。
This paper studies the pricing problem of derivatives in incomplete markets with a single period financial market model.First the traditional non-arbitrage pricing method is introduced,and it is pointed out that the method is only restricted to complete markets.Then the idea of non-arbitrage pricing is generalized into incomplete markets,and the ε-arbitrage pricing methods and the interval pricing methods of derivatives is obtained.Finally it is shown by examples that the traditional non-arbitrage pricing method is a special case of the interval pricing method and the ε-arbitrage pricing methods,and the latter two methods that works in both complete and incomplete markets is a generalization of the former one. 〔
