Pricing The Intrinsic Risk In Financial Market Based On Incomplete Information Sets

The price of financial risk has been a classical and important problem in mathematical finance.For the study of the risk of finance,especially the problem of the measure of the risk of finance,it is based on the condition that the market is complete.As everyone knows,the current financial market cannot be ideal complete market.This paper is based on the information above,we introduce the Nelson's derivatives and define a new risk measure,then we study the price of intrinsic risk in financial market based on incomplete information sets.The second chapter of this paper,as preliminary knowledge,the chapter introduces the presentation of stock pricing,the value of the portfolio process and the financial assets pricing under the risk-neutral measure;The third chapter of this paper studies the intrinsic risk of single asset model of the financial market.Firstly,we introduce the Nelson's derivatives that based on incomplete information sets,define a new risk measure(it is called risk-subjective measure);secondly,we give the study of the intrinsic risk based on complete information sets and give the measure of intrinsic risk under past and future information sets,then build the asset pricing equation under risk-subjective measure.The chapter gives the valuation of intrinsic risk on the market under the incomplete information sets;The forth chapter of this paper studies the intrinsic risk of multi assets model of the financial market.We compare the situation of single asset model and combine the skills of the relation of assets,the single asset model is extended to multi assets model,then we build the asset pricing equation under risk-subjective measure based on incomplete information sets and give the presentation of intrinsic risk.