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Answers for “在单期证券市场模型中,如何从资产收益和当前价格推导线性定价方程?”

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To derive the linear pricing equations, you impose the no-arbitrage condition that the current price of each traded asset must equal the sum of its state-contingent payoffs weighted by the corresponding state prices. This produces one linear equation per traded asset, with the state prices acting as the unknowns.

Conditions: One-period model with a finite set of states.; Prices of all traded assets are known today.; State-contingent payoffs for each asset are known.; The unknowns are the state prices (Arrow-Debreu security prices).

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The solution for the state price vector is unique because the coefficient matrix of the resulting linear pricing system has a nonzero determinant. A nonzero determinant guarantees that the system of linear equations has exactly one unique solution for the unknown state prices.

Conditions: The market model has three states and three traded assets.; The pricing system is a 3x3 linear system.; The coefficient matrix of the system is nonsingular (determinant is nonzero).

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The bank account contributes 110 in every state because it is a risk-free asset that pays 10% interest per year. Investing 100 today guarantees a return of 110 at time one, regardless of which of the three possible scenarios occurs.

Conditions: The bank account is risk-free.; The bank account pays 10% interest per year.; The initial investment (current price) is 100.; The model is a one-period setting with multiple states.

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An Arrow-Debreu security is a theoretical financial instrument that pays exactly 1 unit of currency in one specific state of the world and 0 in all other states. The state price vector is the collection of the current prices of all such Arrow-Debreu securities for the finite set of states in the market model.

Conditions: The market model has a finite set of states.; Payoffs are normalized to 1 in one state and 0 elsewhere.; The model is a one-period setting.