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有交易费和买卖价差的无套利市场模型

The Market Model of No-Arbitrage with Transaction and Ask-Bid Spreads
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摘要 给出一种有交易费和买进卖出价差两种摩擦的多周期金融市场模型,在这种模型下进行市场的无套利刻画。 The background of this paper is the multi-time financial market model with transaction and ask-bid spreads. In this paper, we give the characterization of no-arbitrage.
作者 易艳春 吴雄韬
机构地区 衡阳师范学院数学系
出处 《衡阳师范学院学报》 2007年第6期17-18,共2页 Journal of Hengyang Normal University
关键词 无套利 交易费 买卖价差 no-arbitrage equivalent martingale measure financial market
分类号 O211.9 [理学—概率论与数理统计]
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衡阳师范学院学报
2007年 第6期

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