摩擦市场的利率期限结构的无套利分析
No-arbitrage analysis for the term structure of interest rates in markets with frictions
查看参考文献21篇
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文摘
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本文用无套利方法分析有摩擦金融市场中利率的期限结构。对存在有限个债券和离散有限个到期日以及存在成比例的交易费、买卖差价、税赋这三种摩擦的金融市场，引入了相容期限结构的概念，给出了相容期限结构和套利机会的存在性结果或充要条件及它们的识别与计算方法。 |
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其他语种文摘
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In this paper we analyse the term structure of interest rates in frictional markets by using the no-arbitrage approach. For a market with finite bonds and finite and discrete times to maturities and with frictions including proportional transaction costs, bid-ask spreads, and taxes, the concept of a consistent term structure is introduced, several existence results or necessary and sufficient conditions for a consistent term structure or for an arbitrage opportunity are derived, and a method for identifying and computing a consistent term structure or an arbitrage opportunity is presented. |
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来源
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系统科学与数学
,2002,22(3):285-295 【核心库】
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关键词
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期限结构
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摩擦市场
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交易费
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买卖差价
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税赋
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弱无套利
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地址
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1.
中山大学岭南学院金融系, 广州, 510275
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中国科学院数学与系统科学研究院系统科学研究所, 北京, 100080
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香港城市大学计算机科学系, 香港
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语种
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中文 |
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文献类型
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研究性论文 |
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ISSN
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1000-0577 |
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学科
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社会科学总论 |
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基金
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国家自然科学基金
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国家自然科学基金国家杰出青年科学基金
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国家教育部人文社会科学“十五”规划项目
;
广东省自然科学基金
;
香港城市大学基金项目
;
香港研究资助局（RGC）项目
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文献收藏号
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CSCD:1148161
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参考文献 共
21
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