無套利期權定價模型在一般均衡框架下的一致性研究

陳瑩, 譚偉強

Research output: Contribution to journalArticlespeer-review

Abstract

期權定價有無套利方法和一般均衡方法兩種。本文在一般均衡框架下構造了一個允許連續消費的簡單經濟模型,並將基於無套利方法的期權定價模型中所假定的標的證券的價格變化動態過程內生化於理性預期均衡中。在常數相對風險厭惡(CRRA)的效用函數的條件下,我們推導出Merton(1973)期權定價公式,從而證明無套利方法與均衡方法的內在一致性,而CRRA這種類型的效用函數是無套利定價模型在一般均衡框架中成立的充分條件。本文進一步將此模型在一個簡單經濟中擴展到m種證券的情況,也得到相似的結論。
There are two methods on option pricing, no-arbitrage and equilibrium analysis. We construct a simple economy with continuous consumption, in which we "endogenize" the stochastic process of prices in the option pricing model based on no-arbitrage analysis. With constant relative risk aversion type utility function assumption, we present Merton(1973)option pricing model and find the consistency of the model with a general equilibrium framework. We extend the model to the market with m securities and it turns out similar results. Copyright © 2007 湖南大學;湖南省經濟數學研究會.
Original languageChinese (Simplified)
Pages (from-to)260-268
Journal經濟數學
Volume24
Issue number3
Publication statusPublished - Sep 2007

Citation

陳瑩和譚偉強(2007):無套利期權定價模型在一般均衡框架下的一致性研究,《經濟數學)》,24(3),頁260-268。

Keywords

  • 期權定價
  • 一般均衡分析
  • 無套利分析
  • Option pricing
  • General equilibrium analysis
  • No-arbitrage analysis
  • Alt. title: On the consistency of option pricing model based on no-arbitrage analysis with a general equilibrium framework