跳至正文
返回文库全部文档

仅交易股票时何时需要风险中性定价

文章 Quant Q&A · 作者: Taylor
阅读原文

总结

本文探讨只交易股票的投资者是否需要关注以风险中性测度表示股票价格过程。回答区分了相对价值问题与绝对投资决策。当某项资产或索取权的收益取决于另一资产时，风险中性定价有助于推导两者之间的价值关系。但它本身无法回答这只股票是否值得买入或卖出，也不能判断隐含波动率是过高还是过低。

对于这类绝对价值判断，回答转而建议依据现实概率测度进行分析。这是简要的概念区分，并非对测度变换或投资组合选择的全面说明。本文没有给出估值示例，也未提出超出问题中股价设定的假设，或提供交易结果的实证证据。其实际相关性还取决于投资者评估的对象：只持有股票的投资者若要直接判断买卖，可能不需要风险中性定价；若涉及或有索取权或相对估值，风险中性定价则可能有用。

核心观点

  • 当一种收益取决于另一项资产时，风险中性定价有助于进行相对估值。
  • 风险中性定价无法确定一只股票从绝对投资角度看是否值得买入。
  • 关于现实世界预期结果的问题，应依据现实概率测度进行分析。
  • 风险中性定价是否相关，取决于所评估的资产和估值问题。

标签

衍生品定价股票统计学
全文
# true or false: the risk-neutral measure is useless in this situation


# true or false: the risk-neutral measure is useless in this situation












Example 2 of this Wiki article on the risk-measure describes how a stock price $S_t$ that is modeled with Geometric Brownian motion with drift $\mu$ $$ dS_t = \mu S_t dt + \sigma S_t dW_t $$ can be rewritten in a risk-neutral way so that the drift is the risk free interest rate $r$:

$$ dS_t = r S_t dt + \sigma S_t d \tilde{W}_t. $$

My question is this:

> if I am an investor who is only buying/selling $S_t$ (no bonds, no derivatives, etc.), why should I care about this at all? How would this have any impact on my investment decisions?

## Answer by river_rat (score 3, accepted)

https://quant.stackexchange.com/a/54064

Risk-neutral pricing is to help with relative value type questions: If I know the value of this what should the value of that be if it depends in some way on this. It doesn't help with absolute value type questions: Should I buy this or that, is the implied volatility too low or high etc. Those are generally "real world measure" type questions.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: CC BY-SA 4.0 (Stack Exchange)

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。