高阶马氏过程影响下的金融模型的等价鞅测度

摘要

考虑离散时间的金融模型的参数均受到高阶马尔可夫链的影响,利用广义的Girsanov原则,获得了一个等价鞅测度,证明了此概率测度和已有文献中利用Esscher变换所得的测度是一致的.%Because of the effect of high-order Markov model on a discrete-time finance model＇s parameters,the extended Girsanov＇s principle is used to get an equivalent martingale measure,which is proved to be the same with the one got by Esscher-transformation in other papers.