摘要
金融危机促使我们进一步重视对金融市场中不可分散的系统性跳跃风险的研究,这类风险显著地影响金融产品的价值,是经济安全研究中不可忽视的一大问题。本文在消费金融市场框架内,建立了面临不可分散跳跃风险的衍生金融产品的一般普适估值(定价)模型,该模型研究的衍生产品并不要求其标的变量必须是投资资产的价格,而是对衍生产品价格有影响的状态变量。模型中的一个关键项清晰地反映了由于多种风险因素作用,作为系统风险的不可分散跳跃风险,对衍生金融产品的价值产生的显著影响,而这一关键项所产生的影响在以前衍生金融产品定价的研究中却令人遗憾地没有被考虑。本文还从理论上证明,投资过程中的连续消费将减少金融衍生品价格的预期增长率。本文还在一定条件下,推导出模型的闭式解。本文的研究方法不仅在消费金融市场可用,也可推广到一般金融市场衍生品定价研究,具有较广的普适性。
The non-diversifiable jump risk is fatal to economic security. However, the traditional pricing theory of financial derivatives focused mostly on derivatives dependent on prices of traded assets, and seldom cared about other influence caused by other uncertain factors that are not tradable on securities markets. But actually, the prices of derivatives will be changed under the influence of climate and other multiple correlated or uncorrelated factors. Some of these factors will cause systematic risks that can not be diversified away. Correspondingly, in this paper, we mainly introduce a unified method to discuss derivatives pricing problems in a consumer finance market under the circumstances mentioned previously, and deduce a general valuation model for the derivatives whose underlying variables are not traded assets, but with non-diversifiable risk. And this methodology has been extended to the situation when the underlying state variables change with jumps, i.e., the state variables may reveal sudden and rare breaks logically accounted for by exogenous events on information. We also study the pricing model when the equations of underlying state variables are nonlinear and derive a general valuation equation for derivatives. Furthermore, as compared with Merton (1976, 1994) and other scholars work, the unified pricing methodology given by us studies not only diversifiable jump risk, but also non-diversifiable jump risk, i.e., this valuation methodology can be used to cope with diversifiable jump risk which is nonsystematic as well as non-diversifiable jump risk which is systematic. And we also introduce a key term, which was neglected by former researchers of derivatives pricing, to demonstrate the tremendous effects of non-diversifiable jump imposed on the derivatives' value. We also show that the consumption will lower the expected growth rate of derivative price. Finally, closed form solutions are deduced under some conditions. The methodology used in this paper is valid not only in the consumer finance market but also in the general financial market.
出处
《经济研究》
CSSCI
北大核心
2012年第S1期128-138,共11页
Economic Research Journal
基金
教育部哲学社会科学重大课题攻关项目"人民币国际化进程中的金融风险与安全研究"的支持
项目编号:11JZD022
关键词
消费金融市场
状态变量
衍生金融产品
不可分散跳风险
一般普适估值方程
Consumer Finance Market
State Variable
Derivatives
Non-diversifiable Jump Risk
General Valuation (or Pricing) Equation
