Risk-neutral parameter shifts and derivatives pricing in discrete time

• 成果类型: Article
• 署名作者: Schroder, M
• 署名单位: Michigan State University; Michigan State University's Broad College of Business
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2004.00702.x
• 发表日期: 2004
• 页码: 2375-2401
• 关键词: CONTINGENT CLAIMS; valuation; returns; MODEL

摘要

We obtain a large class of discrete-time risk-neutral valuation relationships, or preference-free derivatives pricing models, by imposing a simple restriction on the state-price density process. The risk-neutral stock-return and forward-rate dynamics are obtained by changing only a location parameter, which can be determined independent of the preference and true location parameters. The Gaussian models of Rubinstein (1976), Brennan (1979), and C (a) over cap mera (2003), and the gamma model of Heston (1993) are all special cases. The model provides simple relationships between expected returns and state-price density parameters analogous to the diffusion case.