衍生证券地定价与保值-厦门大学.pptVIP

;;Ⅰ A partial-equilibrium one-period model;;;;;;;;Some examples;;;;;;;;;;;;;;;;Ⅱ A general intertemporal equilibrium model;;;;; ;;;;;;;;;;Model 1: A constant interest rate assumption ;;;;;;; (20);;;;;;;;Remarks: Although the value of the firm follows a simple dynamic process with constant parameters, the individual component securities follow more complex processes with changing expected returns and variances. Thus, in empirical examinations using a regression, if one were to use equity instead of firm values, systematic biases would be introduced. ;Model 2: The “no risk