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基于可行域的容度概念,引入一等级参数测度奈特不确定性程度,研究奈特不确定性规避者的资产交易价格行为。通过容度代替概率测度,基于容度期望效用模型获得奈特不确定性规避者的交易行为偏好,构建对偶测度下的资产交易价格惰性区间;以上证50期权2015年2月9日至9月23日的日收益数据为样本予以实证,并与传统Black-Scholes期权定价模型对比。结果表明,在奈特不确定性环境下,资产交易价格存在“惰性区间”;该惰性区间随奈特不确定性程度的不断增强(减弱)而不断扩大(缩小),其中,惰性区间的扩大呈边际递减趋势;同时,惰性区间的扩大(缩小)导致市场流动性存在下降(上升)的趋势。研究内生解释了证券市场上的“非市场参与”之谜,外生说明了证券市场上的“有限市场参与”特征,并结合中国证券市场特征提出相关建议。
Based on the concept of feasible domain, this paper introduces a level parameter to measure the degree of uncertainty of Knight, and studies the asset transaction price behavior of Knight’s uncertainty avoidance. Through the tolerance measure instead of the probability measure, the tolerance behavioral preferences of Knight’s uncertainty avoidants are obtained based on the expected-value utility model, and the inertia interval of the asset transaction price under the dual measure is constructed. For the above options of the SSE50 from February 9 to September 9, 2015 The 23-day daily earnings data are tested for the sample and compared to the traditional Black-Scholes option pricing model. The results show that there is an “inert interval” in the price of assets under Knight’s uncertainty, and the inert interval increases (decreases) with the increasing (weaker) degree of Knight’s uncertainty. Among them, the inert interval While the expansion (narrowing) of the inert interval led to a decrease (increase) in market liquidity. The study internally explains the mystery of “non-market participation ” in the securities market, expatiates on the “limited market participation ” characteristics in the securities market, and makes relevant suggestions based on the characteristics of China’s securities market.