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English Abstract: Risk-neutral valuation is the foundation of modern derivative pricing theory. However, Chinese …
Persistent link: https://www.econbiz.de/10012904937
bond issuers are encouraged to launch "pandemic bonds" for epidemic prevention and control. This article uses Copula model … to analyze the correlation between the credit spread of pandemic bonds and the corresponding bond market yields. The …-short-term pandemic bonds are highly correlated with corresponding bond markets. The analysis of the correlation coefficients between them …
Persistent link: https://www.econbiz.de/10012839937
Chinese Abstract: CAPM 所在的资本市场是非完全的,并且是 一 个 Hilbert 空间,我们找出了该市场中 SDF 模仿支付的显式表达式。纯风险证券的局部均衡中,CAPM 公式成立,CAPM...
Persistent link: https://www.econbiz.de/10012853093
Chinese Abstract: MM 命题的最大贡献是提出完美市场假设和使用套利证明方法。本文回顾了完美市场假设和无套利原理,然后对 MM...
Persistent link: https://www.econbiz.de/10012854798
Persistent link: https://www.econbiz.de/10012860303
Chinese Abstract: 风险教条认为资产价格是由某种风险决定的,而均衡定价认为是由供需均衡决定的。基于 CAPM...
Persistent link: https://www.econbiz.de/10013249211
Chinese Abstract: 如果每个投资者投入市场组合的金额增加一倍,那么市场组合的总市值将增加一倍。此时,市场组合的权重仍然保持不变吗?答案是否定的,作为半均衡定价的 CAPM...
Persistent link: https://www.econbiz.de/10013249212