论文标题
解决圣彼得堡悖论的新定价理论
A New Pricing Theory That Solves the St. Petersburg Paradox
论文作者
论文摘要
在过去的280年中，圣彼得堡悖论是概率理论的重要话题，尚未解决。自从尼古拉斯·伯诺利（Nicolaus Bernoulli）于1738年提出圣彼得堡悖论以来，许多人试图解决它并提出了各种解释，但所有人都不令人满意。在本文中，我们提出了一种具有多个规则的新定价理论，该理论偶然地解决了这一悖论。新的定价理论指出，所谓的公平（合理）定价应由卖方和买方独立判断。卖方的合理定价可能不适合买方。卖方关心成本，而买方则关注回报的现实前景。我们提出的定价理论可以应用于金融市场，以解决一种混乱，即使用脂肪尾巴分配的金融资产回报会导致期权定价公式失败，从而构成定量性金融定价理论的理论缺陷。
The St. Petersburg Paradox, an important topic in probability theory, has not been solved in the last 280 years. Since Nicolaus Bernoulli proposed the St. Petersburg Paradox in 1738, many people had tried to solve it and had proposed various explanations, but all were not satisfactory. In this paper we propose a new pricing theory with several rules, which incidentally resolves this paradox. The new pricing theory states that so-called fair (reasonable) pricing should be judged by the seller and the buyer independently. Reasonable pricing for the seller may not be appropriate for the buyer. The seller cares about costs, while the buyer is concerned about the realistic prospect of returns.The pricing theory we proposed can be applied to financial markets to solve the confusion that financial asset return with fat tails distribution will cause the option pricing formula to fail, thus making up the theoretical defects of quantitative financial pricing theory.
