摘要
本文首先给出了有交易费资产模型下套利机会的定义,利用辅助鞅和资产折算函数等方法,讨论了该模型下未定权益无套利定价问题,得到的结果是有交易费的未定权益无套利定价区间.
Abstract In this paper, the definition of arbitrage opporturity was at first introduced for the given market model under transaction costs, also no-arbitrage pricing of the contingent claims was discussed, by using the methods of auxiliary martingales and the discount asset function. At last, the result was obtained, that is the no-arbitrage pricing interval of the contingent claims under transaction costs.
出处
《应用数学学报》
CSCD
北大核心
2002年第2期361-365,共5页
Acta Mathematicae Applicatae Sinica
基金
国家自然科学基金(10171054号)
山东省自然科学基金(Q98A06114号)资助项目
