求论文:Contingent claims valuation when the security price is a combination of an I

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

最近需要看看这论文，哪位老兄有阿？多谢阿！

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：combination contingent Valuation security Nation Process Valuation random Ito combination

<STRONG>Contingent claims valuation when the security price is a combination of an Ito process and a random point process. <BR></STRONG>Aase, K K <BR><B>STOCHASTIC PROCESS. APPLIC. Vol. 28, no. 2, pp. 185-220. 1988 </B><BR><BR>This paper develops several results in the modern theory of contingent claims valuation in a frictionless security market with continuous trading. The price model is a semi-martingale with a certain structure, making the return of the security a sum of an Ito-process and a random, marked point process. Dynamic equilibrium prices are known to be of this form in an Arrow-Debreu economy, so there is no real limitation in the approach. This class of models is also advantageous from an applied point of view. Within this framework the author investigates how the model behaves under the equivalent martingale measure in the P super(*)-equilibrium economy, where discounted security prices are marginales. Here he presents some new results showing how the marked point process affects prices of contingent claims in equilibrium. <BR><BR><a><IMG src="http://md1.csa.com/partners/images/question.gif"></A><B>Descriptors:</B> economics; point processes; semimartingales; equilibrium <BR>