| 有交易费市场中套利问题的注记 |
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| 引用本文： | 许世蒙,张玉忠.有交易费市场中套利问题的注记[J].系统科学与数学,2001,21(3):330-334. |
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| 作者姓名： | 许世蒙 张玉忠 |
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| 作者单位： | 1. 装甲兵工程学院数学室
2. 曲阜师范大学运筹学研究所 |
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| 基金项目： | 国家自然科学基金(No.19871049),山东省中青年科学家奖励基金和山东省自然科学基金(Q98A06114)资助课题. |
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| 摘 要： | 对有交易费的资产模型,本文引入了市场有套利机会的一般定义,并利用辅助鞅和资产折算函数方法,讨论了无套利市场的基本性质,即在可允许投资策略下市场不存在套利机会.
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| 关 键 词： | 交易费 套利机会 资产折算 未定权益. |
| 修稿时间： | 1999年12月14 |
NOTES ABOUT ARBITRAGE OF MARKET UNDER TRANSACTION COSTS |
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| Shi Meng XU,Yu Zhong ZHANG.NOTES ABOUT ARBITRAGE OF MARKET UNDER TRANSACTION COSTS[J].Journal of Systems Science and Mathematical Sciences,2001,21(3):330-334. |
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| Authors: | Shi Meng XU Yu Zhong ZHANG |
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| Institution: | (1)Section of Mathematics, Armored Force Engineering Institute , Beijing 100072,P.R.China;(2)Institute of Operations Research, Qufu Normal University, Qufu 273165,P.R.China |
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| Abstract: | In this paper, we introduce the general definition of arbitrage opportunity for the given market model under transaction costs, also discuss the basic properties of no-arbitrage market by using the methods of auxiliary martingales and the discount asset function, that is, under the admissible trading strategy there is not arbitrage opportunity in the market. |
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| Keywords: | Transaction costs arbitrage opportunity discount asset contingent claims |
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