| 有交易费和买卖价差的无套利市场模型 |
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| 引用本文： | 易艳春,吴雄韬. 有交易费和买卖价差的无套利市场模型[J]. 衡阳师范学院学报, 2007, 28(6): 17-18 |
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| 作者姓名： | 易艳春 吴雄韬 |
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| 作者单位： | 衡阳师范学院,数学系,湖南,衡阳,421008 |
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| 摘 要： | 给出一种有交易费和买进卖出价差两种摩擦的多周期金融市场模型,在这种模型下进行市场的无套利刻画。
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| 关 键 词： | 无套利 交易费 买卖价差 |
| 文章编号： | 1673-0313（2007）06-0017-02 |
| 收稿时间： | 2007-09-20 |
| 修稿时间： | 2007-09-20 |
The Market Model of No-Arbitrage with Transaction and Ask-Bid Spreads |
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| YI Yan-chun,WU Xiong-tao. The Market Model of No-Arbitrage with Transaction and Ask-Bid Spreads[J]. journal of Hengyang Normal University, 2007, 28(6): 17-18 |
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| Authors: | YI Yan-chun WU Xiong-tao |
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| Affiliation: | Department of Mathematics, Hengyang Normal University, Hengyang Hunan 421008,China |
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| Abstract: | The background of this paper is the multi-time financial market model with transaction and ask-bid spreads.In this paper,we give the characterization of no-arbitrage. |
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| Keywords: | no-arbitrage equivalent martingale measure financial market |
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