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基于随机区间损益市场模型的未定权益无差异定价

Indifference Prices of Contingent Claims in a Market of Securities with Random Interval Payoffs
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摘要 基于加权期望效用最大化,给出了有随机区间损益未定权益的无差异买入价和卖出价的定义,讨论了两种无差异价格的存在性及其性质.通过一个算例,利用二分法得到了简单的二叉树模型下的无差异价格. Based on weighted expected utility maximization,definitions of indifference bid and ask prices to a contingent claim with interval payoff are proposed.Existence and properties of two prices are discussed.Applying the method of bisection,a simple binomial tree model is given as an example to calculate indifference prices.
作者 尤苏蓉 魏康
机构地区 东华大学理学院
出处 《东华大学学报（自然科学版）》 CAS CSCD 北大核心 2016年第1期145-151,共7页 Journal of Donghua University(Natural Science)
基金 中央高校基本科研业务费专项资金资助项目
关键词 未定权益 随机区间 期望效用 无差异定价 contingent claim random interval expected utility indifference pricing
分类号 O29 [理学—应用数学] F224 [经济管理—国民经济]
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参考文献15

  • 1HULL J.Options,futures and other derivatives[M].7th edition.New-Jersy:Prentice-Hall,2008.
  • 2KARATZAS I,KOU S.On the pricing of contingent claims under constraints[J].Annals of Applied Probability,1996,6(2):321-369.
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二级参考文献18

  • 1YOU Su-rong, LE Jia-jin, DING Xiao-dong. Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting[J]. Computers and Mathematics with Applications, 2008, 56(8): 1905- 1917.
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  • 7Karatzas I, Kou S G. On the Pricing of Contingent Claims under Constraints[ J]. The Annals of Applied Probability, 1996, 6 (2) : 321-369.
  • 8Chen A, Su X. Knightian Uncertainty and Insurance Regulation Decision[ J ]. Decisions in Economics and Finance, 2009, 32 (1) : 13-33.
  • 9Huang X X. Minimax Mean-Variance Models for Fuzzy Portfolio Selection [ J ]. Soft Computing--a Fusion of Foundations, Methodologies and Applications, 2010, 15(2) : 251-260.
  • 10Yu S E S, Huamg K H, Li M Y L, et al. A Novel Option Pricing Model via Fuzzy Binomial Decition Tree [ J ]. International Journal of Innovative Computing, Information and Control, 2011, 7(2) : 709-718.

共引文献1

东华大学学报（自然科学版）
2016年 第1期

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