摩擦市场的利率期限结构的无套利分析

被引：6

作者：

李仲飞

汪寿阳

邓小铁

机构：

[1] 中山大学岭南学院金融系,中国科学院数学与系统科学研究院系统科学研究所,香港城市大学计算机科学系广州,,北京,,香港

来源：

系统科学与数学 | 2002年 / 03期

基金：

广东省自然科学基金;

关键词：

期限结构; 摩擦市场; 交易费; 买卖差价; 税赋; 弱无套利;

D O I：

暂无

中图分类号：

F224.7 [概率论与数理统计在经济中的应用];

学科分类号：

020208 ; 020209 ; 0714 ;

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.

引用

页码：285 / 295

页数：11

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