[1]陈金龙.随机贴现模型资产市场定价方法[J].华侨大学学报(自然科学版),2005,26(2):213-216.[doi:10.3969/j.issn.1000-5013.2005.02.027]
　Chen Jinlong.Stochastic Discount Model-Based Assets Pricing Method[J].Journal of Huaqiao University(Natural Science),2005,26(2):213-216.[doi:10.3969/j.issn.1000-5013.2005.02.027]
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随机贴现模型资产市场定价方法()
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《华侨大学学报（自然科学版）》[ISSN:1000-5013/CN:35-1079/N]

卷:
第26卷
期数:
2005年第2期
页码:
213-216
栏目:
出版日期:
2005-04-20

文章信息/Info

Title:
Stochastic Discount Model-Based Assets Pricing Method
文章编号:
1000-5013(2005)02-0213-04
作者:
陈金龙
华侨大学工商管理学院 福建泉州362021
Author(s):
Chen Jinlong
College of Business Administration, Huaqiao University, 362011, Quanzhou, China
关键词:
随机贴现模型;  资产定价;  完全市场;  非完全市场
Keywords:
stochastic discount model;  assets pricing;  complete market;  incomplete market
分类号:
F224
DOI:
10.3969/j.issn.1000-5013.2005.02.027
文献标志码:
A
摘要:
将传统的贴现现金流(DCF)模型推广到随机贴现模型,并介绍该模型的理论基础.在完全市场条件下,探讨确定随机贴现因子的方法.利用所得到的随机贴现因子,求解欧式期权的定价公式.在非完全市场条件下,利用效用函数确定随机贴现因子,获得给定资产的无套利定价.
Abstract:
Starting from a presentation of the theoretical basis of stochastic discount model which is extended from the traditional model of discount cash flow (DCF), the author inquires into assets pricing method in the market under different conditions. Under the condition of complete market, the method for determining stochastic discount factor (SDF) is explored and the pricing formula of European option is solved by using SDF so obtained. Under the condition of incomplete market, SDF is determined by using utility function; and the pricing without arbitrage of the given assets is obtained therefrom.

参考文献/References:

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[7] 陈金龙. 实物期权定价理论与方法研究 [D]. 天津:天津大学, 2003.75-78.

备注/Memo

备注/Memo:
华侨大学科研基金资助项目(04BS103)
更新日期/Last Update: 2014-03-23