Lower and upper pricing of financial assets

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-01-01 DOI:10.3934/puqr.2022004

Robert Elliott,Dilip B. Madan,Tak Kuen Siu

引用次数: 0

Abstract

<p style='text-indent:20px;'>Modeling of uncertainty by probability errs by ignoring the uncertainty in probability. When financial valuation recognizes the uncertainty of probability, the best the market may offer is a two price framework of a lower and upper valuation. The martingale theory of asset prices is then replaced by the theory of nonlinear martingales. When dealing with pure jump compensators describing probability, the uncertainty in probability is captured by introducing parametric measure distortions. The two price framework then alters asset pricing theory by requiring two required return equations, one each for the lower upper valuation. Proxying lower and upper valuations by daily lows and highs, the paper delivers the first empirical study of nonlinear martingales via the modeling and simultaneous estimation of the two required return equations.</p>

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金融资产定价的高低

<p style='text-indent:20px;'>通过概率误差建模不确定性，忽略概率中的不确定性。当财务估值认识到概率的不确定性时，市场可能提供的最佳价格框架是较低和较高的估值。随后，资产价格的鞅理论被非线性鞅理论所取代。在处理描述概率的纯跳变补偿器时，通过引入参数测量畸变来捕捉概率中的不确定性。然后，两个价格框架通过要求两个必要的回报方程来改变资产定价理论，每个方程用于较低的较高估值。本文通过对两个所需收益方程的建模和同时估计，以日最低价和日最高价代替较低和较高的估值，首次对非线性鞅进行了实证研究。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.