阿罗德布鲁证券市场题目

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Consider a situation in which there are five states, and suppose you can observe the
prices of the Arrow securities. They are (0.1225, 0.2451, 0.3676, 0.0613, 0.1838).
(a) Compute the price of a risk-free bond and the risk-free rate of return.
(b) What are the risk-neutral probabilities of the five states?
(c) How much does a hypothetical asset cost with cash flow (5, 5, 2, 7, 4)?

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关键词：阿罗德布鲁 证券市场 德布鲁 Securities Abilities situation 证券市场 suppose return states

P0=0.1225+0.2451+0.3676+0.0613+0.1838
R=1/P0 -1
概率Q1=0.1225/P0  Q2=0.2451/P0  后面依次类推。
Cash flow 计算有好几种方法，（5,5,2,7,4）*(0.1225, 0.2451, 0.3676, 0.0613, 0.1838)'
也可以有风险中性概率求期望在无风险折现方法。