摘要
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.
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.
出处
《系统科学与数学》
CSCD
北大核心
2002年第3期285-295,共11页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金(10171115)
国家杰出青年基金
教育部人文社会科学研究"十五"规划项目(01JA630009)
广东省自然科学基金(011193)
香港 RGC项目及香港城市大学战略基金资助课题.
