经济数学2016，Vol.33Issue(3)：20-25,6.
Knight不确定下基于无穷纯跳Levy过程的一般风险资产的动态最小定价
Dynamic Minimal Pricing of General Risk Assets Based on Infinite Pure Jump Levy Process under Knight Uncertainty
摘要
Abstract
By using the theories of backward stochastic differential equation and time-risk discount method,dynamic minimal pricing of general risk assets was studied under the financial market with Knight uncertainty.Dynamic pricing formula of general risk assets was deduced based on infinite pure j ump Levy process under real probability measure.Moreover,dynamic minimal pricing formula was calculated in a set of Knight uncertainty.Finally,a case of dynamic minimal pricing of European call option was presented and the explicit solutions of the price of the option was obtained.The Levy process was introduced to describe dynamic movements of stock prices under Knight uncertain environment,which was more in line with actual market and could be widely used in general risk assets pricing,because it provided the theoretical basis for investment analysis.关键词
金融数学/最小定价/风险市场价格/BSDE/Levy过程/Knight不确定性Key words
financial mathematics/minimal pricing/market prices of risk/backwardstochastic differential equation/Levy process/Knight uncertainty分类
管理科学引用本文复制引用
刘悦莹,王向荣,黄虹..Knight不确定下基于无穷纯跳Levy过程的一般风险资产的动态最小定价[J].经济数学,2016,33(3):20-25,6.基金项目
国家自然科学基金（10971007）；山东科技大学研究生创新基金 （）
