| 一类特殊半鞅模型中无套利测度的刻划 |
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| 引用本文： | 魏刚,史树中. 一类特殊半鞅模型中无套利测度的刻划[J]. 经济数学, 2001, 18(2): 1-9 |
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| 作者姓名： | 魏刚 史树中 |
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| 作者单位： | 北京大学金融数学系,北京,100084;北京大学金融数学与金融工程研究中心,北京,100084 |
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| 基金项目： | major project Financial Mathematics, Financial Engineering and Financial Management of NNSFC. |
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| 摘 要： | 本文研究金融市场中一类特殊半鞅模型,其价格过程具有X=LD的形式,这里L是局部有界鞅,D是可料有限变差过程.对这类模型我们导出其等价鞅测度存在的充分必要条件.另外,我们将[2]中的条件/△M/≤C推广到M为局部有界鞅,得到相应的结果.
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| 关 键 词： | 特殊半鞅 等价鞅测度 市场完备性 |
CHARACTERIZATION OFARBITRAGE-FREE MEASURE IN A CLASS OF SPECIAL SEMI-MARTINGALE MODELS |
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| Abstract. CHARACTERIZATION OFARBITRAGE-FREE MEASURE IN A CLASS OF SPECIAL SEMI-MARTINGALE MODELS[J]. Mathematics in Economics, 2001, 18(2): 1-9 |
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| Authors: | Abstract |
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| Abstract: | In this paper, we investigate a class of semi-martingale models of a financial market with a pricing process X=LD, where L is a locally bounded martingale and D is a predicable finite variation process. We derive a necessary and sufficient condition for existence of equivalent martingale measures. Moreover, we relax the restriction |△M|≤C in [2] to M being locally bounded and extend the corresponding results in [2]. |
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| Keywords: | Special semi-martingale equivalent martingale measure completeness of the market |
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