【摘要】 本文利用倒向随机微分方程研究了连续时间下基于可交易证券的风险资产定价模型。解决了如何在实际测度及不知无风险利率的情况下对一般(可能不可交易)资产进行定价的问题。与此同时,得到了远期测度与实际测度之间的关系,此关系不依赖于风险中性测度。更多还原

【Abstract】 This paper develops a continuous time model by means of the BSDE methodology,in order to price risky assets in terms of the real probability measure.In following such a pricing approach,the risk-free rate does not need to be known.In addition,the relationship between the forward measure and the real probability measure is established.更多还原