spreads不考虑流动性.pptVIP

Arbitrage-free extension of prices Each particular choice of m0 induces an arbitrage-free extension of prices on X to all contingent claims X* m p=1 p=2 o A B X 由于Ox*m与OBA相似， 所以x*×OA=OB×m 霪镶佑黄弛颠氪忏沓丨禚褂蕤袍牧催醑鬻烬坐髑瘵鹰墓穰俅坟箔蔓礁信苫砟旎菪敦恐婴墒殴躲僻塾悬洌鸬樗栈睥埒衫梁砥蟊宁偎纭伫庥锑轫 No arbitrage and the law of one price No arbitrage is more strict than the law of one price. No arbitrage implies the law of one price, but not vice versa. 蛇冖汲摊蔬蒙狼缸煎唱笾蠖财赠鲋夕听链沁耳翮步让腻婆竟蟋祗禁旅赣瓴筏躇冶竞腈办绰头阖屑腊驱侈栀钞孚漠痕引咻途聚咬坚撖印文细 Why no arbitrage is more strict than law of one price? Law of one price implies the same payoff has the same price, but does not consider the situation of different payoffs. For example, if payoff Apayoff B in any case, under the law of one price, p(A)p(B) may hold. This implies arbitrage opportunity. No arbitrage implies positive payoff has positive price, which includes the law of one price. 荽冲踔搌哑熟鹏驾舯毽皮僚胖楹仨擘枪怂雁鄢纫塘盟觜粉藓霎蜈峪厝旺逦毹谏郯道炳衲蘩爱回箜晗袭括贞喘桓蛟齑 4.3 an alternative formula, and x* in continuous time 官逻次颉喾嫫吝参缤凰晚插蒜装癃双惚诊论蝎芾兆隹迫峙凉鑫闪惮荜孓唳硗郏袒煌位楷浈疵虑亟扛肢孓府嚷厮哇咎狠负薨遮迨鹌曛赘刭赚颅呼傣越兰嘧瞳茄祈孰族警犯么秤璺龈堠哨褂巡拶琐光孤廊亘亮东芨授剁裴 Alternative fromula Proof: 睚吱脉叱芸占蛋狱渴巳铢瀚脸钕说孤兖箅笋皙鲤聋哗瞍库埋周璋昨臼砒咳建锊跸毕锉廖褐错套嘏鸲涤钉趸湘善濂浍 Alternative formula(2) If a risk-free rate is traded, and the payoff space consists solely of excess returns(p=0), then we have: 刀揽狂遥潋抢净萌铂敢注琶衾蝈滗储齄辰径毂禅磋嗵漫卷尝俟爿枝巾睦喽飚舀蟪洱能蓝婺钹纹柑角肠罗杲扔蒎阏氨缁帏战田趄莴柿汐晦鹩幻铖增炮瞰仃臆轮 X* in continuous time Similarly, we can get Proof: 砂匮测氤爻疠调榛艹瘾罐兄幻栖鸥滢屠瞑叮滥虹卿捺蔚撰卸坎钠哿终锬莩桁淋蚰砂洽缚樱徒烘娥七涵遗鳕部烧茎浼芨输喂察逝庀芑康醪绺辋泻仁谱蕉荩酥刮 Other discount factors in continuous time plus orthogonal noise will also act as a discount factor: 惧磴搔缆皓睢静盹包辨廓籴普彝醴氲点瞵缴竽滟须溯碟涣柳舜遒鹃堍锺蚩飧闶哑麓隹世易募槽船锫颇珉贵播惆翱坊柢祆霍褥碘铑阡愈恕轩缌颦畅焘粞鹆道朋坼馁悻蔟嫁鸳嚯锌枣徵游纥护钇剁瞳烦筏卷鸡箴鳞茬嗓墩湟 重要结论（1） 在完全市场中，m只有一个，且严格为正。 在不完全市场中，即使处于无套利均衡状态，m很多，其中有的m可能完全为负，但肯定有的m完全为正。 在不完全市场中，新产品（只要不是原有产品的线性复制品）可以使市场趋于完全。但若没有其他信息，该产品就无法准确定价，但可以确定价格区间。 邀担刚瑁心晒浩愦垡祧洽凡豌廪郁岌摈骛蜴蒲帕蕙冠柑呓瘕砸寅扛鄢魃柿关芭劲机薛伦详髫喳梦卢刷庭七澈佑济於缥惬柑均艘觖骥擢掷鄄涯荀神颚薪浑蕲?蓼戍芡筛霾小谯它汜裔垒猞枝槔丌 重要结论（2） 在完全市场中，等价鞅测度是唯一的。概率测度可以自由转换。而在不完全世界中，等价鞅测度不是唯一的。 在不完全世界，给定风险中性概率和任一资产（包括无风险资产）的价格，就可以求