等价鞅测度在资产定价中的应用-概率论与数理统计专业论文.docxVIP

i i 摘 要 金融数学的一个重要理论基础是:在有限个资产和有限期的假设下,市场无套利 等价于存在等价鞍测度,使得贴现的资产价格过程为鞍(资产定价第一定理).更进一 步说,如果市场是完全的,则无套利假设等价于存在唯一的等价鞍测度(资产定价第 二定理).从这一结果发展起来的一系列方法称为鞍方法.鞍方法使得金融理论中的 许多问题得到相对简明的表示. 在完备市场的框架下本文的主要工作有: 第一部分通过三种资产的定价揭示了风险中性概率测度的内在机理,并给出了 合理的解释; 第二部分首先通过讨论有限状态模型中的测度变换问题,来说明风险中性定价 本质上是一个转换过程即通过更正未来现金流的预期概率,将资产定价问题转化为 利用无风险利率进行贴现的问题.然后使风险中性定价方法将任意定价问题放到一 个统一的理论框架中:所有资产的定价都将按照无风险利率取得收益.最后给出了测 度变换在完全市场中动态最优组合边择中的应用; 第三部分研究了在完全市场的条件下基于效用最大化的最优投资问题和最优 投资-消费问题,将市场系数由时间的确定性函数推广到随机函数情形,建立了数学 模型;进一步又根据现实当中投资者对于不同方面的消费会产生不同的满足感和丰 福感,又将消费分成三部分得出了一些结论. 关键词: 无风险利率;等价鞍测度;无套利;鞍;贴现;投资组合;投资-消费;效用函 数. Abstract One of the important theoretical basis of financial mathematics is: in a finite number of assets and the limited period assumption, the absence of arbitrage is equivalent to the existence of equivalent martingale measure, so that the discounted asset price process is a martingale(the first fundamental theorem of asset pricing). Further more, if the market is complete, no arbitrage assumption is equivalent to the existence of the unique equivalent martingale measure(the second fundamental theorem of asset pricing). A series of methods developed from this result is called the martingale method. The martingale approach makes many problems in financial theory relatively simple. In the framework of complete market, the main work is as follows: The section 1, we reveal the inner mechanism of the risk neutral probability measure through the three assets pricing, and give the reasonable explanation; The section 2, we first discuss the measure transformation of finite state model so that illustrate the risk neutral pricing is essentially a conversion process. In other words, through correcting the expected probability of future cash flows, we transform the pricing problem of assets into the risk-free interest rate discounted problem.Second the risk neutral pricing methods put all the pricing problem into a unified theoretical framework: all asset pricing will obtain payoff in according to the