Asset Pricing:State Price and Risk-Neutral Probability
State Price
完备市场下: q s = q ( e s ) q_s=q(e_s) qs=q(es)
z = ∑ s = 1 S z s e s , q ( z ) = ∑ s = 1 S z s q ( e s ) = q ⋅ z z=\sum_{s=1}^Sz_se_s,q(z)=\sum_{s=1}^Sz_sq(e_s)=q·z z=∑s=1Szses,q(z)=∑s=1Szsq(es)=q⋅z
不完备市场下:
q
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q_s\equiv Q(e_s)
qs≡Q(es)
If
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q
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Q\geq0,q_s\geq0
Q≥0,qs≥0 ; if
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Q>0,q_s>0
Q>0,qs>0
对每个未定权益
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z\in R^S,z=\sum_sz_se_s
z∈RS,z=∑szses,所以有:
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Q(z)=Q(\sum_sz_se_s)=\sum_sz_sQ(e_s)=\sum_sz_sq_s=q·z
Q(z)=Q(s∑zses)=s∑zsQ(es)=s∑zsqs=q⋅z
因为
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Q(x_j)=p_j
Q(xj)=pj,所以有:
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p_j=qx_j\\p=Xq
pj=qxjp=Xq
状态价格是含
S
S
S 个未知量
q
s
q_s
qs 的
J
J
J 个方程组的解。
if market is complete , J ≥ S , r a n k ( X ) = S → ∃ J\geq S,rank(X)=S\to\exist J≥S,rank(X)=S→∃ 唯一的 q > > 0 q>>0 q>>0
if market is incomplete , r a n k ( X ) < S rank(X)<S rank(X)<S , multiple q > > 0 q>>0 q>>0 is possible.
Theorem : p = X q p=Xq p=Xq has solution q>>0 iff ∃ Q ( z ) > 0 \exist Q(z)>0 ∃Q(z)>0 ; ∀ q > > 0 , ∃ Q > 0 , s . t . ∀ z ∈ R S , Q ( z ) = q z \forall q>>0,\exist Q>0,s.t.\ \forall z\in R^S,Q(z)=qz ∀q>>0,∃Q>0,s.t. ∀z∈RS,Q(z)=qz
proof:上述等式已经证明,与严格为正的估值泛函相关的状态价格是等式 p = X q p=Xq p=Xq 的一个解。下面说明估值泛函的存在性。
suppose q > > 0 q>>0 q>>0 是 p = X q p=Xq p=Xq 的解,then Q ( z ) = q ⋅ z Q(z)=q·z Q(z)=q⋅z is linear and strictly positive. Let z ∈ M , ∃ h , z = h X , Q ( z ) = q z = q ⋅ h ⋅ X = h ⋅ X ⋅ q = p h = q ( z ) z\in M,\exist h,z=hX,Q(z)=qz=q·h·X=h·X·q=ph=q(z) z∈M,∃h,z=hX,Q(z)=qz=q⋅h⋅X=h⋅X⋅q=ph=q(z) , 即 Q Q Q 与 M M M 上的收益定价泛函一致 .So Q ( z ) Q(z) Q(z) is strcitly positive valuation functional.
Fundamental Theorem of Finance : NA iff ∃ q > > 0 \exist q>>0 ∃q>>0 , NSA iff ∃ q > 0 \exist q>0 ∃q>0
Example:
x 1 = ( 1 , 1 , 1 ) , p 1 = 1 / 2 ; x 2 = ( 1 , 2 , 4 ) , p 2 = 1 x_1=(1,1,1),p_1=1/2;x_2=(1,2,4),p_2=1 x1=(1,1,1),p1=1/2;x2=(1,2,4),p2=1 . Does Market exclude Arbitrage?
→ q 1 + q 2 + q 3 = 1 / 2 , q 1 + 2 q 2 + 4 q 3 = 1 → q 1 = 2 q 3 , q 2 = 1 / 2 − 3 q 3 \to q_1+q_2+q_3=1/2,q_1+2q_2+4q_3=1\to q_1=2q_3,q_2=1/2-3q_3 →q1+q2+q3=1/2,q1+2q2+4q3=1→q1=2q3,q2=1/2−3q3
q 3 > 0 , 2 q 3 > 0 , 1 / 2 − 3 q 3 > 0 → 0 < q 3 < 1 / 6 q_3>0,2q_3>0,1/2-3q_3>0\to 0<q_3<1/6 q3>0,2q3>0,1/2−3q3>0→0<q3<1/6。此时NA。
0 ≤ q 3 ≤ 1 / 6 0\leq q_3\leq1/6 0≤q3≤1/6,此时NSA。
Farkas-Stiemke Cemma :
suppose y , a ∈ R m , b ∈ R n , Y ∈ R m × n y,a\in R^m,b\in R^n,Y\in R^{m\times n} y,a∈Rm,b∈Rn,Y∈Rm×n
Theorem ( Farkas ): 不存在 a ∈ R m a\in R^m a∈Rm,满足 a Y ≥ 0 , a y < 0 aY\geq0,ay<0 aY≥0,ay<0 的充要条件是当且仅当 ∃ b ∈ R n , s . t . y = Y b , b ≥ 0 \exist b\in R^n,s.t.\ y=Yb,b\geq0 ∃b∈Rn,s.t. y=Yb,b≥0
Theorem ( Stiemke ): 不存在 a ∈ R m a\in R^m a∈Rm,满足 a Y ≥ 0 , a y ≤ 0 aY\geq0,ay\leq0 aY≥0,ay≤0,其中或者 a Y > 0 aY>0 aY>0,或者 a y < 0 ay<0 ay<0 的充要条件是当且仅当 ∃ b ∈ R n , s . t . y = Y b , b > 0 \exist b\in R^n,s.t.\ y=Yb,b>0 ∃b∈Rn,s.t. y=Yb,b>0
状态价格和取值的界
对于未定权益
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z∈RS,z∈/M:
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q_l(z)=\max_h\{ph:z\geq hX\}\\q_u(z)=\min_h\{ph:z\leq hX\}\\\pi\in[q_l(u),q_u(z)],Q(z)=q(z)+\lambda\pi
ql(z)=hmax{ph:z≥hX}qu(z)=hmin{ph:z≤hX}π∈[ql(u),qu(z)],Q(z)=q(z)+λπ
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p=Xq,ph=Xqh=qz
p=Xq,ph=Xqh=qz:
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q_l(z)=\min_{q>0}\{qz:p=Xq\}\\q_u(z)=\max_{q>0}\{qz:p=Xq\}
ql(z)=q>0min{qz:p=Xq}qu(z)=q>0max{qz:p=Xq}
Risk-Neutral Probability
Risk-Free Asset : X = ( 1 , 1 , ⋯ , 1 ) X=(1,1,\cdots,1) X=(1,1,⋯,1)
Risk-Free return: r ˉ = 1 P b = 1 ∑ s = 1 S q s x s = 1 ∑ s = 1 S q s \bar r=\dfrac{1}{P_b}=\dfrac{1}{\sum_{s=1}^Sq_sx_s}=\dfrac{1}{\sum_{s=1}^Sq_s} rˉ=Pb1=∑s=1Sqsxs1=∑s=1Sqs1
假设证券价格无套利(强套利),具有严格正回报无风险收益
r
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\bar r
rˉ 属于资产张成空间。令
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q 是严格为正(为正)的状态价格向量,对每个
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\hat\pi_s\equiv\bar rq_s=\dfrac{q_s}{\sum_{s=1}^Sq_s}\in(0,1)\\\sum_{s=1}^S\hat\pi_s=1
π^s≡rˉqs=∑s=1Sqsqs∈(0,1)s=1∑Sπ^s=1
π
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\hat\pi_s\to
π^s→ risk-neutral probability
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p_j=\sum_{s=1}^Sq_sx_s^j=\sum_{s=1}^Sq_s\sum_{s=1}^S\dfrac{q_s}{\sum_{s=1}^Sq_s}x_s^j\\=\dfrac{1}{\bar r}\sum_{s=1}^S\dfrac{q_s}{\sum_{s=1}^Sq_s}x_s^j=\dfrac{1}{\bar r}\sum_{s=1}^S\hat\pi_sx_s^j=\dfrac{1}{\bar r}E^*(x^j)\\\bar r=E^*(r_j)\\Q(z)=qz=\sum_sq_sz_s=\frac{1}{\bar r}\sum_s\hat\pi_sz_s=\frac{1}{\bar r}E^*(z)
pj=s=1∑Sqsxsj=s=1∑Sqss=1∑S∑s=1Sqsqsxsj=rˉ1s=1∑S∑s=1Sqsqsxsj=rˉ1s=1∑Sπ^sxsj=rˉ1E∗(xj)rˉ=E∗(rj)Q(z)=qz=s∑qszs=rˉ1s∑π^szs=rˉ1E∗(z)
可以将未定权益取值的上界和下界表示为:
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q_u(z)=\frac{1}{\bar r}\max_{\hat\pi}E^*(z)\\q_l(z)=\frac{1}{\bar r}\min_{\hat\pi}E^*(z)
qu(z)=rˉ1π^maxE∗(z)ql(z)=rˉ1π^minE∗(z)