标题： 基于信息的资产定价 显示英文标题

标题： Information-Based Asset Pricing

摘要： 引入了一个新的资产价格动态框架，在这个框架中使用了关于未来现金流的噪声信息的概念来推导价格过程。在这个框架中，资产由其现金流结构定义。每个现金流都被建模为一个随机变量，它可以表示为一组称为市场因子的独立随机变量的函数。与每个这样的“X因子”相关联的是一个市场信息过程，其值对市场参与者是可访问的。每个信息过程是两个项的和；其中一项包含关于市场因子真实值的信息；另一项代表“噪声”。噪声项通过一个独立的布朗桥来建模。市场过滤假设是由独立信息过程的总和生成的。资产的价格由风险中性测度下贴现现金流的期望值给出，并且条件是市场过滤所提供的信息。当现金流是与股权相关的股息支付时，得到了一个明确的股价模型，并且推导出了关于分红资产期权的价格。令人惊讶的是，得到的欧式看涨期权价格公式属于Black-Scholes-Merton类型。基于信息的方法也自然地解释了随机波动率的起源。 显示英文摘要

摘要： A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can be expressed as a function of a collection of independent random variables called market factors. With each such "X-factor" we associate a market information process, the values of which are accessible to market agents. Each information process is a sum of two terms; one contains true information about the value of the market factor; the other represents "noise". The noise term is modelled by an independent Brownian bridge. The market filtration is assumed to be that generated by the aggregate of the independent information processes. The price of an asset is given by the expectation of the discounted cash flows in the risk-neutral measure, conditional on the information provided by the market filtration. When the cash flows are the dividend payments associated with equities, an explicit model is obtained for the share-price, and the prices of options on dividend-paying assets are derived. Remarkably, the resulting formula for the price of a European call option is of the Black-Scholes-Merton type. The information-based framework also generates a natural explanation for the origin of stochastic volatility.