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| 有交易成本的利率期限结构的分析 | |
| 引用本文： | 张仕龙,黄德斌. 有交易成本的利率期限结构的分析[J]. 应用数学与计算数学学报, 2005, 19(2): 8-14 |
| 作者姓名： | 张仕龙 黄德斌 |
| 作者单位： | 上海大学理学院数学系,上海,200444 |
| 基金项目： | 国家自然科学基金（10201020）资助项目. |
| 摘 要： | 本文利用无套利均衡方法对存在着交易费，赋税，以及买卖差价等交易成本的债券市场进行分析．用数学方法严格地证明了一个基本结论：在有交易成本的债券市场上，弱无套利性与相容期限结构的存在性是等价的． |
| 关 键 词： | 相容期限结构 交易费 无套利分析 |
| 收稿时间： | 2004-10-14 |
| 修稿时间： | 2004-10-14 |
Analysis for the Term Structure of Interest Rates in Markets with Transaction Cost |
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| Zhang Shilong,Huang Debin. Analysis for the Term Structure of Interest Rates in Markets with Transaction Cost[J]. Communication on Applied Mathematics and Computation, 2005, 19(2): 8-14 | |
| Authors: | Zhang Shilong Huang Debin |
| Abstract: | In the paper we analyse the structure of interest rates in markets with all kinds of transaction costs by using the no-arbitrage approach. For a market with the finite bonds and finite and discrete times to maturities and with transaction costs including proportional transaction costs and bidask spreads, and tax , fixed cost, the concept of a consistent term structure is introduced, several existence results and necessary and sufficient conditions for a consistent structure are derived. |
| Keywords: | term structure transaction costs bid-ask spreads weak no-arbitrage |
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