市場(chǎng)價(jià)格模型上價(jià)格算子的相關(guān)問題.pdf

1、西北師范大學(xué)碩士學(xué)位論文市場(chǎng)價(jià)格模型上價(jià)格算子的相關(guān)問題姓名：張玉法申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：數(shù)學(xué)指導(dǎo)教師：馮德成2009AbstractA basic result in mathematical finance, sometimes called the fundamental theoremof asset pricing, is that for a stochastic process Xt, the existence of

2、a risk-neutral proba-bility measure is ?essentially?euqivalent to the absence of arbitrage opportunities. Inthe model of market prices, stochastic process Xt describes the random evolution of theprice of one or several r

3、isky securities. The equivalence of no-arbitrage with the existenceof a risk-neutral probability measure is at the basis of the entire theory of ?pricing byarbitrage?. Hence, the risk-neutral probability measure has very

4、 important role on riskyasset pricing.Firstly, in this article, the related results of ?Which conditions are satisfied by priceoperators, so that there is a risk-neutral probability measure?are summarized in thefinite di

5、screte time model of market prices, then the better result is found. Secondly,in the infinite discrete time model of market prices, the certain conditions that priceoperators satisfy are given, so that the risk-neutral p

6、robability measure is found. Finally,the rationality of risk-neutral probability measure founded by price operators in the infinitediscrete time model of market prices is explained on the theory of martingales.Key words: