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Issue:
The Pricing of Derivative Securities under Short-selling Constraints
Author(s):
MENG Zhuo-qun
Pages:
468
-
474
Year:
2010
Issue:
4
Journal:
Journal of Fudan University(Natural Science)
Keyword:
效用最大化
;
卖空限制
;
期权定价
;
动态定价方程
;
Abstract:
针对卖空限制的情形给出了投资者风险中性偏好下期权价格的一个表达式,这个价格是买卖双方能够达成一致的惟一价格.推导的关键是在卖空限制下把绝对风险厌恶度为任一常值γ的投资者的期权动态定价方程表示成一种易于分析极限γ→0或者γ→∞的形式.
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