摘要
在有交易费模型下,初步讨论了未定权益的公平价的定义形式和基本性质,并给出了基于无套利分析的公平价结果.
For the given market model under transaction costs, the definition formula and basic properties of the fair pricing about the contingent claims was preliminarily discussed, and the result of the fair pricing formula based on no-arbitrage opportunity analysis was given in this paper.
出处
《装甲兵工程学院学报》
2002年第3期1-4,共4页
Journal of Academy of Armored Force Engineering
基金
国家自然科学基金资助项目（No. 1071054）.
关键词
交易费
公平价
套利机会
transaction costs
fair price
arbitrage opportunity
