摘要
相关文献仅在交易策略线性依赖于时间变量t的情形下,建立了资产定价基本定理的两个基本无套利条件的比较.这两个基本无套利条件分别是:没有风险消失的免费午餐和没有好的交易条件.本文在交易策略时间变量t满足指数函数模型的情形下,建立了没有风险消失的免费午餐与没有好的交易条件之间的关系.
A comparison of two essential no-arbitrage conditions for the fundamental theorem of asset pricing was established in relative papers,which trading strategy depends only linearly on the time variable t.The two essential no-arbitrage conditions are so called the no free lunch with vanishing risk condition and the no good deal condition,respectively.In this paper,we aim to establish a relationship between these two conditions with the trading strategy being given by an exponential function of the time variable t.
作者
李琳
吴奖伦
许永峰
Li Lin;Wu Jianglun;Xu Yongfeng(School of Mathematics, Northwest University, Xi′an 710127, China;Department of Mathematics, Swansea University, Swansea SA1 8EN, United Kingdom)
出处
《纯粹数学与应用数学》
2018年第4期411-430,共20页
Pure and Applied Mathematics
基金
国家自然科学基金(11571011)
关键词
没有风险消失的免费午餐
没有良好的交易条件
基本定理
等价鞅测度
指数模型
no free lunch with vanishing risk condition
no good deal condition
fundamental theorem
equivalent martingale measures
index models
