摘要
本文研究具有摩擦的证券市场中资产定价 ,即在局部凸拓扑空间中弱与强无套利、弱与强近似无套利及弱与强没有免费午餐 .我们建立了这三个概念之间的关系并且解决了资产定价理论的估值问题 .
This paper studies asset pricing in frictional security markets.The mathemationcal formulation is based on a locally convex topological space for arbitrage freeness,approximate arbitrage freeness and no free lunches.We establish the relations of these concepts and solve the valuation problem in asset pricing theory.
出处
《经济数学》
2000年第4期9-15,共7页
Journal of Quantitative Economics
基金
This research is supported by a project of Financial Mathematics,Financial Engineering and Financial Management,which is one of"Ninth Five-Hear Plan"Major Projects of National Natural Science Foundation of China(Grant 79790130)
Basic Research Foundation,School of Economics and Management,Tsinghua University.
关键词
无套利
近似无套利
“没有免费午费”
arbitrage freeness
approximate arbitrage-freeness
no free lunches
