The Theory of Good-Deal Pricing in Financial Markets
The Theory of Good-Deal Pricing in Financial Markets
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金融市场优惠定价理论
DOI：
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发表时间：
1998
期刊：
影响因子：
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通讯作者：
S. Hodges
中科院分区：
文献类型：
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作者：
A. Černý;S. Hodges
在本文中，术语“好交易定价”代表基于均衡状态下缺乏有吸引力的投资机会-好交易-的任何定价技术。这里提出的理论表明，任何这样的技术都可以被视为无套利定价的推广，如果稍加注意，它将包含无套利和代表代理均衡，作为一系列可能的非好交易均衡限制的两端。我们在无好交易框架下建立了扩展和定价定理，并建立了由冯·诺伊曼-摩根斯坦偏好决定的无好交易价格界的一般性质。我们的理论为一系列的应用提供了共同的基础，如Bernardo和Ledoit(2000)，Cerny(1999)，Cochrane和Saa-Requejo(2000)，以及Hodges(1998)。
In this paper the term "good-deal pricing" stands for any pricing technique based on the absence of attractive investment opportunities - good deals - in equilibrium. The theory presented here shows that any such technique can be seen as a generalization of no-arbitrage pricing and that, with a little bit of care, it will contain the no-arbitrage and the representative agent equilibrium as the two opposite ends of a spectrum of possible no-good-deal equilibrium restrictions. We formulate the Extension and the Pricing Theorem in no-good-deal framework and establish general properties of no-good-deal price bounds determined by von Neumann-Morgenstern preferences. Our theory provides common footing to a range of applications, such as Bernardo and Ledoit (2000), Cerny (1999), Cochrane and Saa-Requejo (2000), and Hodges (1998).