NO-ARBITRAGE相关论文
In this paper,we present a multidimensional model describing the hybrid financial market.The definition of no-arbitrage,......
No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and l......
The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in th......
B-S期权定价公式是在连续时间、风险资产价格服从几何布朗运动及完全市场等假设条件下得出的,这并不现实.在没有上述约束条件下,给......
通过设计最优清算策略过程研究了流动性风险溢价测算问题.在市场流动性不足的情况下,投资者大头寸的交易会对市场价格造成冲击,理......
股息贴现模型是估计股票内在价值的基本方法，无套利均衡是现代金融理论的基础．现有的研究通常将股息贴现模型确定的股票内在价值作为......
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本文主要介绍了资产定价第一基本定理，并由此得到两个推广定理。...
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。......
考虑完全无套利市场环境下，当标的资产-股票指数支付连续红利，市场上无风险资产-零息票债券的价格过程满足一个由布朗运动驱动的随机......
基于备用保证金与回望期权具有共同的路径依赖特性,构建期货市场备用保证金回望期权模型,进而度量出在期货建仓时点持有期货空头或......
An Implicit-Explicit Computational Method Based on Time Semi-Discretization for Pricing Financial De
This paper considers pricing European options under the well-known of SVJ model of Bates and related computational metho......
