线性规划在判断市场套利中的应用

The Application of Linear Programming in Determining Marketing Arbitrage

本文利用风险中立概率、线性规划和对偶线性规划,证明了金融市场是否存在套利的等价条件。在此基础上,利用线性规划,建立了一种判断金融市场是否存在套利机会的数学模型和方法,并用此方法实证了中国证券市场是存在套利的。

The existence of the financial market equivalent of arbitrage conditions is proved, using risk-neutral probability, linear programming and dual linear programming. On the basis, a mathematical model is established to judge whether it has the arbitrage opportunity in the financial markets. Finally, using the method and real diagnosis datas, the existence of arbitrage in China＇s securities markets is also proved.