Research on Stock Index Future Pricing Based on Numeraire Theory

摘要：

Theory of the numeraire portfolio allows simple derivations of the main results of financial theory. When the optimal growth portfolio is a numeraire, the prices of self-financing portfolios are martingales in the historical probability. The numeraire portfolio is instantaneously mean-variance efficient; this key feature allows avoidance of changes of probability measures and simple derivation of standard continuous-time contingent claim pricing. This property is just used for given the dynamics and the explicit expression of no-arbitrage pricing of stock index future in this paper.

关键词： self-financing portfolio numeraire portfolio stock index future pricing martingale measure

作者: Shao-hua CHEN Sheng-wu ZHOU Yan ZHANG Yu-jie DING

作者单位: College of Science,China University of Mining and Technology,Xuzhou 221008,CHINA College of cience,China University of Mining and Technology,Xuzhou 221008,CHINA

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 152-155

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）