摘要
同时考虑到效用函数和禀赋价格动态过程的多样性,给出了代表性经济人具有线性风险容忍度效用并且禀赋遵循线性跳跃扩散过程时零息债券均衡价格的显示表达式,探讨了其收益率为常数的条件及禀赋过程满足均衡要求的条件.
The forms of representative＇s utility function and the dynamics of price of endowment are two basic aspects in equilibrium pricing. It will lead to non-robust conclusion if either of these aspects in not considered completkly. Give the explicit formulas for the equilibrium price of the zero coupon bond when the representative＇s utility shows linear risk tolerance under the linear jump diffusion processes, incorporating both the diversities of the forms of utility functions and the dynamics of price of endowment. The conditions are solved for the constant yield to maturity for the zero coupon bond. And the equilibrium conditions are also found for the endowment.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2009年第1期29-36,共8页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(70801010
70671019)
中国博士后科学基金(20080430058)
中国博士后科学基金首批特别资助(200801140)
关键词
线性风险容忍度
线性跳跃扩散
零息债券
均衡定价
linear risk tolerance
linear jump diffusion
zero coupon bond
equilibrium pricing
