| 有交易费未定权益的一个公平定价的初步讨论 |
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| 引用本文： | 许世蒙,张玉忠. 有交易费未定权益的一个公平定价的初步讨论[J]. 装甲兵工程学院学报, 2002, 16(3): 1-4 |
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| 作者姓名： | 许世蒙 张玉忠 |
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| 作者单位： | 1. 装甲兵工程学院数学室,北京,100072
2. 曲阜师范大学运筹研究所,曲阜,273165 |
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| 基金项目： | 国家自然科学基金资助项目（No. 1071054）. |
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| 摘 要： | 在有交易费模型下,初步讨论了未定权益的公平价的定义形式和基本性质,并给出了基于无套利分析的公平价结果。
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| 关 键 词： | 交易费 公平价 套利机会 |
| 修稿时间： | 2002-05-14 |
The Fair Pricing of the Contingent Claims under Transaction Costs |
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| XU Shi-meng ZHANG Yu-zhong. The Fair Pricing of the Contingent Claims under Transaction Costs[J]. Journal of Armored Force Engineering Institute, 2002, 16(3): 1-4 |
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| Authors: | XU Shi-meng ZHANG Yu-zhong |
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| Affiliation: | XU Shi-meng ZHANG Yu-zhong |
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| Abstract: | For the given market model under transaction costs, the definition formula and basic properties of the fair pricing about the contingent claims was preliminarily discussed, and the result of the fair pricing formula based on no-arbitrage opportunity analysis was given in this paper. |
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| Keywords: | transaction costs fair price arbitrage opportunity |
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