带交易未定权益有偏好无套利定价

preferred No-arbitrage Pricing of Contingent Claims under Transaction Costs

针对引入的有交易费正常化资产模型和有偏好套期保值投资策略,利用辅助鞅和资产折算函数方法,讨论了未定权益的有偏好无套利机会定价问题,还给出了相应的有偏好无套利机会的定价区间.

In this paper, we introduce the definition of arbitrage opportunity and the preferred hedge invest strategies for the given market model (the normalized market) under transaction costs, also discuss the preferred no-arbitrage pricing of the contingent claoms by using the methods of auxiliary martingales and the discount asset function, furthermore, also obtain the interval of the preferred no-arbotrage pricing.