资产定价第三个基本定理

R. Jarrow
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引用次数: 25

摘要

市场效率对衍生品定价的重要性还没有得到很好的理解。本文的目的是利用资产定价的第三个基本定理来解释这种联系。资产定价的第三个基本定理描述了一个经济体中存在等价鞅概率测度的条件。注意到等效鞅概率测度的存在是市场信息有效的充分必要条件,我们证明了在完全市场中,市场有效是风险中性估值方法有效性的充分必要条件。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Third Fundamental Theorem of Asset Pricing
The importance of market efficiency to derivative pricing is not well understood. The purpose of this paper is to explain this connection using the third fundamental theorem of asset pricing. The third fundamental theorem of asset pricing characterizes the conditions under which an equivalent martingale probability measure exists in an economy. Noting that the existence of an equivalent martingale probability measure is both necessary and sufficient for the market being informationally efficient, we prove that in a complete market, the market being efficient is both necessary and sufficient for the validity of the risk neutral valuation methodology.
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