| 套利机会识别 |
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| 引用本文： | 胡松,杨招军. 套利机会识别[J]. 怀化学院学报, 2005, 24(2): 6-9 |
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| 作者姓名： | 胡松 杨招军 |
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| 作者单位： | 1. 湖南大学,统计系,湖南,长沙,410079
2. 湖南大学数学与计量经济学院,湖南,长沙,410082 |
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| 摘 要： | 均衡的金融市场是不存在套利机会的,但事实上,在局部范围短时间内套利机会时而出现、时而消失·从理论上来说,一旦市场存在套利机会,套利者通过构造适当的交易策略,可以获取无限财富·然而到目前为止,还没有易于实际操作的、能够识别市场是否存在套利机会的系统方法,尽管Flam(1998)旨在给出寻找套利的方法,但实际上它给出的是与套利稍有不同的的占优策略,且没有给出具体的算法与算例·在F1am(1998)的基础上作进一步的研究,探讨寻找占优和套利机会的算法·
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| 关 键 词： | 占优 套利 交易策略 风险中性概率 |
| 文章编号： | 1671-9743(2005)02-0006-04 |
| 修稿时间： | 2005-03-30 |
Looking for Arbitrage |
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| HU Song,YANG Zhao-jun. Looking for Arbitrage[J]. Journal of Huaihua University, 2005, 24(2): 6-9 |
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| Authors: | HU Song YANG Zhao-jun |
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| Affiliation: | HU Song 1,YANG Zhao-jun 2 |
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| Abstract: | There is no arbitrage in the equilibrium market.But in fact arbitr age will emerge of not in a short time.Arbitrage is very attractive and valuable for every investor,because from the theory,once there is an arbitrage in the markeI.Abitrager can obtain unlimited wealth,but from now on,there are not any recipient and effective means which cab judge an arbitrage whether or not in the market.Flam(1998)have given a method of looking arbitrage,but actually it was a method of looking dominant strategy.This article is going to research deeply and gives a method or looking arbitrage and dominant strategy. |
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| Keywords: | arbitrage trading strategy contingent claims riskneutral probability |
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