Securities Markets, Diffusion State Processes, and Arbitrage-Free Shadow Prices
推导了无套利条件对扩散状态过程的参数限制，利用等价鞅测度将影子价格函数转化为无套利或有债权价格，并应用于CIR模型等。
This paper develops the parametric restrictions imposed on diffusion state processes by the requirement of arbitrage-free asset pricing. Using the equivalent martingale measure as a starting point, the diffusion property is exploited to specify the shadow pricing func? tion, which takes conditional state variable probabilities under the reference measure into arbitrage-free contingent claim prices. The main results of the paper provide differential equations associated with the shadow price function that are used to identify restrictions on the parameters of assumed diffusion processes. The paper concludes with an application to the CIR model where the state variable, the instantaneous interest rate, is assumed to follow a square root process. Calculations are also provided for the parametric restrictions imposed on the Brownian bridge and OU state variable processes.