英文标题：
《The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels》
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作者：
Jihun Han, Hyungbin Park
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最新提交年份：
2015
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英文摘要：
The risk premium is one of main concepts in mathematical finance. It is a measure of the trade-offs investors make between return and risk and is defined by the excess return relative to the risk-free interest rate that is earned from an asset per one unit of risk. The purpose of this article is to determine upper and lower bounds on the risk premium of an asset based on the market prices of options. One of the key assumptions to achieve this goal is that the market is Markovian. Under this assumption, we can transform the problem of finding the bounds into a second-order differential equation. We then obtain upper and lower bounds on the risk premium by analyzing the differential equation.
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中文摘要：
风险溢价是数学金融学的主要概念之一。它是投资者在收益和风险之间进行权衡的一种度量，由相对于每单位风险的资产所赚取的无风险利率的超额收益来定义。本文的目的是根据期权的市场价格确定资产风险溢价的上限和下限。实现这一目标的关键假设之一是市场是马尔可夫的。在这个假设下，我们可以把求边界的问题转化为一个二阶微分方程。然后通过分析微分方程得到风险溢价的上界和下界。
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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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