[量化金融] 真实世界测度下的定价与估价 [推广有奖]

摘要翻译：
一般而言，不清楚哪种信息应用于计算或有债权的公允价值。即使信息被指定，也不能保证公允价值是由给定信息唯一确定的。另一个问题是，资产价格通常是以风险中性的衡量标准来表示的。这使得金融数学的基本结果很难转移到计量经济学上。我表明，如果金融市场是完整和敏感的，上述问题就会消失。在这种情况下，经过适当的数值选择，折扣价格过程在真实世界测度下是一致可积鞅。这导致了一个价格定律和一个简单的真实世界的估值公式，在一个模型独立的框架中，资产的数量以及市场的生命周期可以是有限的或无限的。
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英文标题：
《Pricing and Valuation under the Real-World Measure》
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作者：
Gabriel Frahm
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最新提交年份：
2014
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the given information. A further problem is that asset prices are typically expressed in terms of a risk-neutral measure. This makes it difficult to transfer the fundamental results of financial mathematics to econometrics. I show that the aforementioned problems evaporate if the financial market is complete and sensitive. In this case, after an appropriate choice of the numeraire, the discounted price processes turn out to be uniformly integrable martingales under the real-world measure. This leads to a Law of One Price and a simple real-world valuation formula in a model-independent framework where the number of assets as well as the lifetime of the market can be finite or infinite.
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PDF链接：
https://arxiv.org/pdf/1304.3824