巴切利耶-布莱克-斯科尔斯-默顿统一模型中的动态资产定价

W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali, Frank J. Fabozzi
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引用次数: 0

摘要

我们在统一的巴切利耶和布莱克-斯科尔斯-默顿(BBSM)市场模型下发展资产定价。我们通过费曼-卡克(Feynman-Kac)公式以及通缩指数驱动的风险中性估值推导出期权定价。我们展示了统一模型支持永续衍生品的必要条件。我们开发了统一模型下的离散二项式定价。最后,我们通过考虑零息债券、远期和期货合约的定价来研究利率的期限结构。在所有情况下,我们都证明了统一模型可以简化为标准的布莱克-斯科尔斯-默顿定价(在适当的参数极限下),并推导出巴歇尔模型的定价(也在适当的极限下)。我们的统一模型的巴歇尔极限允许无风险正利率。
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Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
We develop asset pricing under a unified Bachelier and Black-Scholes-Merton (BBSM) market model. We derive option pricing via the Feynman-Kac formula as well as through deflator-driven risk-neutral valuation. We show a necessary condition for the unified model to support a perpetual derivative. We develop discrete binomial pricing under the unified model. Finally, we investigate the term structure of interest rates by considering the pricing of zero-coupon bonds, forward and futures contracts. In all cases, we show that the unified model reduces to standard Black-Scholes-Merton pricing (in the appropriate parameter limit) and derive (also under the appropriate limit) pricing for a Bachelier model. The Bachelier limit of our unified model allows for positive riskless rates.
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