欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
在具体的离散时间不完全市场模型下给出了极小鞅测度的刻划，并以此推导股票期货的无套利定价模型，随后，通过实证对推导出的定价模型加以检验，其结果表明：新定价模型能够较好的对样本期货价格进行拟合，且在与持有成本理论的单因素期货定价模型的比较中，新模型在价格预测的稳定性和精确度上都表现出了一定程度的优势。
英文摘要：
In a concrete discrete-time incomplete market model, the minimal martingale measure is characterized. Under the martingale measure, the arbitrage-free pricing model of stock futures is derived. Then to investigate the model＇ s efficiency, an empirical study is done. The empirical result shows that the prices predicted by new model can fit the sample＇s actual prices well, and compared to the one-factor model from Cost-of-carry theory, the new model presents predictions for stock futures＇ prices with better reliability and precision.
同期刊论文项目
同项目期刊论文
Equity and efficiency analysis of pricing strategies in a bi-modal network with heterogeneous user g
Modeling the evolutions of day-to-day route choice and year-to-year ATIS adoption with stochastic us
Modeling time-dependent travel choice problems in road networks with multiple user classes and multi
One-step solution fabrication of magnetic chains consisting of jingle-bell-shaped cobalt mesospheres
Support vector machine forecasting method improved by chaotic particle swarm optimization and its ap
Static floor field and exit choice for pedestrian evacuation in rooms with internal obstacles and mu
A model for evaluation of transport policies in multimodal n etworks with r oad and p arking capacit
期刊信息
位置：