摘要
在对单时期证券市场的研究中,从构造线性方程组的角度出发,通过线性方程组解的存在情况来判断套利机会是否存在,借助解的形式构造出使得套利机会存在的交易策略.同时,在此基础上利用Farkas引理推导出关于套利机会与风险中性测度关系的一个充分条件.
With the study on the per-duration stock market, the linear equation system was introduced so as to evaluate whether there exists the arbitrage opportunity. Besides, dealing with the solution of such system the trading strategies of the arbitrage were presented. Finally, based on the Farkas＇ theory, a sufficient condition concerning the relationship between the arbitrage opportunity and risk neutral probability was offered.
出处
《上海工程技术大学学报》
CAS
2009年第2期177-180,共4页
Journal of Shanghai University of Engineering Science
关键词
交易策略
套利机会
风险中性测度
trading strategy
arbitrage opportunity
risk neutral probability
