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摘要翻译：
本文研究未定权益的动态定价机制。这种定价机制的一个典型模型是所谓的g-期望$e^g_{s,t}[X]$，它是由具有生成元g和未定权益X作为终端条件的倒向随机微分方程的解定义的。这个BSDE的母函数g。我们还提供了通过测试确定价格生成函数$g=g(y,z)$的例子。本文的主要结果是：如果一个给定的动态定价机制是$e^{G_\mu}$-占优的，即对于一个足够大的$\mu>0$，满足准则(A5)$e_{s,t}[X]-e_{s,t}[x-x']$,其中$G_\mu=G_{\mu}(y+z)$,则$e_{s,t}$是一个G-定价机制。使用CME数据文件对这种支配条件进行了统计检验。检测结果为显著阳性。
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英文标题：
《The Pricing Mechanism of Contingent Claims and its Generating Function》
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作者：
Shige Peng
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最新提交年份：
2012
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分类信息：
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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英文摘要：
In this paper we study dynamic pricing mechanism of contingent claims. A typical model of such pricing mechanism is the so-called g-expectation $E^g_{s,t}[X]$ defined by the solution of the backward stochastic differential equation with generator g and with the contingent claim X as terminal condition. The generating function g this BSDE. We also provide examples of determining the price generating function $g=g(y,z)$ by testing. The main result of this paper is as follows: if a given dynamic pricing mechanism is $E^{g_\mu}$-dominated, i.e., the criteria (A5) $E_{s,t}[X]-E_{s,t}[X']\leq E^{g_\mu}_{s,t}[X-X']$ is satisfied for a large enough $\mu> 0$, where $g_\mu=g_{\mu}(|y|+|z|)$, then $E_{s,t}$ is a g-pricing mechanism. This domination condition was statistically tested using CME data documents. The result of test is significantly positive.
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PDF链接：
https://arxiv.org/pdf/1211.6525
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