英文标题：
《Asset Pricing in an Imperfect World》
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作者：
Gianluca Cassese
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最新提交年份：
2014
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英文摘要：
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage property. We show that prices are coherent if and only if the set of pricing measures is non empty, i.e. if pricing by expectation is possible. We then obtain a decomposition of coherent prices highlighting the role of bubbles. Eventually we show that under very weak conditions the coherent pricing of options allows for a very clear representation which allows, as in Breeden and Litzenberger, to extract the implied probability.
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中文摘要：
在一个没有给定概率测度的模型中，我们考虑了存在摩擦和其他缺陷的资产定价，并描述了一致定价的性质，这一概念与无套利性质有关（但比无套利性质弱得多）。我们证明了当且仅当定价测度集为非空时，价格是一致的，即如果按预期定价是可能的。然后，我们得到了一致价格的分解，突出了泡沫的作用。最后，我们证明了在非常弱的条件下，期权的一致性定价允许一个非常清晰的表示，它允许像布里登和利岑伯格那样，提取隐含的概率。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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