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| 摩擦市场的利率期限结构的无套利分析 | |
| 引用本文： | 李仲飞,汪寿阳,邓小铁.摩擦市场的利率期限结构的无套利分析[J].系统科学与数学,2002,22(3):285-295. |
| 作者姓名： | 李仲飞 汪寿阳 邓小铁 |
| 作者单位： | 1. 中山大学岭南学院金融系,广州,510275 2. 中国科学院数学与系统科学研究院系统科学研究所,北京,100080 3. 香港城市大学计算机科学系,香港 |
| 基金项目： | 国家自然科学基金（10171115），国家杰出青年基金，教育部人文社会科学研究“十五”规划项目（01JA630009），广东省自然科学基金（011193），香港 RGC项目及香港城市大学战略基金资助课题. |
| 摘 要： | 本文用无套利方法分析有摩擦金融市场中利率的期限结构.对存在有限个债券和离散有限个到期日以及存在成比例的交易费、买卖差价、税赋这三种摩擦的金融市场,引入了相容期限结构的概念,给出了相容期限结构和套利机会的存在性结果或充要条件及它们的识别与计算方法. |
| 关 键 词： | 期限结构 摩擦市场 交易费 买卖差价 税赋 弱无套利 |
NO-ARBITRAGE ANALYSIS FOR THE TERM STRUCTURE OF INTEREST RATES IN MARKETS WITH FRICTIONS |
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| Zhong Fei LI,Shou Yang WANG,Xiao TIE DENG.NO-ARBITRAGE ANALYSIS FOR THE TERM STRUCTURE OF INTEREST RATES IN MARKETS WITH FRICTIONS[J].Journal of Systems Science and Mathematical Sciences,2002,22(3):285-295. | |
| Authors: | Zhong Fei LI Shou Yang WANG Xiao TIE DENG |
| Institution: | (1)Dept.of Finance, Lingnan College, Sun Yat-Sen Univ.Guangzhou 510275,P.R.China;(2)Inst.of Sci.,Academy of Math.and Systems Sci.,Chin.Academy of Sci.,Beijing 100080,P.R.China;(3)Dept.of Computer Sci.,City Univ.og Hong Kong ,Kowloon,Hong Kong |
| Abstract: | In this paper we analyse the term structure of interest rates in frictional markets by using the no-arbitrage approach. For a market with finite bonds and finite and discrete times to maturities and with frictions including proportional transaction costs, bid-ask spreads, and taxes, the concept of a consistent term structure is introduced, several existence results or necessary and sufficient conditions for a consistent term structure or for an arbitrage opportunity are derived, and a method for identifying and computing a consistent term structure or an arbitrage opportunity is presented. |
| Keywords: | Term structure transaction co&ts bid-ask spread taxes weak no-arbitrage |
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