| 浦江燕,张伏.信息不对称下带有``随机压力''定价规则的连续时间模型[J].数学年刊A辑,2014,35(1):115~128 |
| 信息不对称下带有``随机压力''定价规则的连续时间模型 |
| Pricing Rules of Stochastic Pressure Under Asymmetric Information in a ContinuousTime Market |
| |
| DOI： |
| 中文关键词: 内部交易, 随机最优控制, 均衡理论, 连续时间金融 |
| 英文关键词:Insider trading, Stochastic
optimal control, Equilibrium theory, Continuous time finance |
| 基金项目: |
|
| Hits: 867 |
| Download times: 46 |
| 中文摘要: |
| 本文是对 Back (1992) 和 Cho (2003) 关于内部交易模型的拓展. 在金融市场中一共有3类人: 内部交易者, 不知情交易者和做市商.
考虑一类比 Cho 研究的模型更广的定价规则.
主要用动态规划的方法, 证明了当内部交易者是风险中性时, 定价规则中``随机压力''消失, 均衡价格还是仅依赖市场上累计交易量.
相应地, 本文的结论推广了 Back 和 Cho 在经典模型中的结论. |
| 英文摘要: |
| This paper deals with the insider
trading model of Back (1992) and Cho (2003), where the market
consists of an insider, noise traders and competitive market makers
who set price. The authors investigate a larger class of price processes than
what Cho has considered. The authors show that when the insider is
risk-neutral, the ``stochastic pressure'' of pricing rule in equilibrium disappears,
and the price still depends only on the cumulative market
order. As a corollary, the equilibrium result of
Back and Cho is extended. |
| View Full Text View/Add Comment Download reader |
| Close |
|
|
|
|
|
