摘要
在无套利假设下,讨论了多叉树模型中鞅测度的构造问题.利用二叉树方法,构造了有限个符号测度.证明了一个概率测度为鞅测度的充要条件是它可以表示为这组符号测度的某个满足特定条件的凸线性组合.
This paper discussed the construction of martingale measures in multinomial market model under the hypothesis of no arbitrage opportunity. Finite signed measures are constructed by binomial method. Furthermore, a probability measure is a martingale measure if and only if it can be expressed as the convex combination of this group signed measures which satisfies certain condition.
出处
《应用数学学报》
CSCD
北大核心
2009年第3期467-475,共9页
Acta Mathematicae Applicatae Sinica
基金
国家自然科学基金(10871064)资助项目
关键词
多叉树模型
不完全市场
凸线性组合
鞅测度
multinomial model
incomplete market
convex combination
martingale measure
