A Theory of Equivalent Expectation Measures for Contingent Claim Returns
提出一种动态测度变换方法，构建混合概率测度（等价期望测度），用于计算有限期限内或有债权（如国债、公司债、金融衍生品）未来价格的解析解，从而得到期望回报，适用于回报的横截面和期限结构实证研究。
ABSTRACT This paper introduces a dynamic change of measure approach for computing 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 equivalent expectation measures (EEMs) that provide the physical expectation of the claim's future price 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.