论文标题
一项等值的期望措施的理论
A Theory of Equivalent Expectation Measures for Contingent Claim Returns
论文作者
论文摘要
本文介绍了计算有限范围内有索赔的预期未来价格（以及预期回报）的分析解决方案的量度方法的动态变化。新方法构建了称为“等效期望度量”（EEM）的混合概率措施，该措施在视野日期之前提供了对索赔的未来价格的物理期望，并在地平线日期或之后作为定价措施。 EEM理论可用于对横截面和术语结构的实证研究，例如国库债券，公司债券和金融衍生品。
This paper introduces a dynamic change of measure approach for computing the analytical solutions of expected future prices (and therefore, expected returns) of contingent claims over a finite horizon. The new approach constructs hybrid probability measures called the "equivalent expectation measures"(EEMs), which provide the physical expectation of the claim's future price until before the horizon date, and serve as pricing measures on or after the horizon date. The EEM theory can be used for empirical investigations of both the cross-section and the term structure of returns of contingent claims, such as Treasury bonds, corporate bonds, and financial derivatives.
